GAMs and GPs

import pandas as pd
import matplotlib.pyplot as plt
import bambi as bmb
import seaborn as sns
from pygam.datasets import mcycle
from pygam import LinearGAM, s, f, GAM, l, utils
import numpy as np
import arviz as az
import pymc as pm


random_seed = 100

import warnings

warnings.simplefilter('ignore')

Flexibility and Calibration

In this blog post we’re going to dive into modelling of non-linear functions and explore some of the tooling available in the python eco-system. We’ll start by looking into Generalised Additive Models with splines in pyGAM before preceding to look Bayesian versions of spline modelling comparing the splines to Gaussian processes in Bambi and PyMC

Our interest in these models stems from their flexibility to approximate functions of arbitrary complexity. We’ll see how the methods work in the case of relatively straightforward toy example and then we’ll apply each of the methods to deriving insights into the functional form of insurance loss curves. In this application we adapt a data set discussed in Mick Cooney’s Stan case study to demonstrate the power of hierarchical spline models. Throughout we’ll draw on the discussion of these methods in Osvaldo Martin’s “Bayesian Analysis with Python” for practical details implementing these models.

All of these methods need to be assessed with respect to their in-sample model fit and their out of sample performance. How can we best calibrate the model fits to perform reasonably well out of sample?

Generalised Additive models

The canonical reference for GAMs is Simon Wood’s “Generalised Additive Models: An Introduction with R” which outlines in some detail the theoretical background of splines and univariate smoothers. The book stresses the trade-offs between the flexibility of splines and the need for cross-validation and penalised estimation methods for spline based modelling.

In R these penalised models fits can be achieved in mgcv which incorporates a wilkinson like formula syntax for model specification: y ~ s(x) + s(x1). The closest implementation in python is available in PyGam and we will adopt this package to illustrate the application of smoothing terms and the penalities.

PyGAM and Penalised Fits

In the next code block we load in an example data set on which to demonstrate univariate smoothing patterns using penalised splines. These models can be optimised by fitting differing strength penalities over a varying number of splines

X, y = mcycle(return_X_y=True)

fig, ax = plt.subplots(figsize=(10, 6))
ax.scatter(X, y)
ax.set_ylabel("Acceleration")
ax.set_xlabel("Time Step")
ax.set_title("Crash Test Dummy Acceleration \n Simulated Motorcycle Crash", fontsize=20)

Text(0.5, 1.0, 'Crash Test Dummy Acceleration \n Simulated Motorcycle Crash')

Next we fit a number of different models to account for the herky-jerky of the data generating processs. We vary the parameterisations to see how the numbers of splines and strength of the penalty help account for the variation in \(y\) over the support of \(X\).

gam1 = LinearGAM(s(0, n_splines=5)).fit(X, y)
gam2 = LinearGAM(s(0, n_splines=7)).fit(X, y)
gam3 = LinearGAM(s(0, n_splines=10)).fit(X, y)
gam4 = LinearGAM(s(0, n_splines=15)).fit(X, y)
gam5 = LinearGAM(s(0, lam=.1)).fit(X, y)
gam6 = LinearGAM(s(0, lam=.5)).fit(X, y)
gam7 = LinearGAM(s(0, lam=5)).fit(X, y)
gam8 = LinearGAM(s(0, lam=15)).fit(X, y)


def plot_fit(gam, X, y, ax, t, c1='b', c2='r'):
    XX = gam.generate_X_grid(term=0, n=500)

    ax.plot(XX, gam.predict(XX), color=c2, linestyle='--')
    ax.plot(XX, gam.prediction_intervals(XX, width=.95), color=c1, ls='--')

    ax.scatter(X, y, facecolor='gray', edgecolors='none')
    ax.set_title(f"""95% prediction interval with {t} \n LL: {gam.statistics_['loglikelihood']}""");

fig, axs = plt.subplots(4,2, figsize=(10, 20))
axs = axs.flatten()
titles = ['5_splines', '7_splines', '10_splines', '15_splines',
'lam=.1', 'lam=.5', 'lam=5', 'lam=15']
gs = [gam1, gam2, gam3, gam4, gam5, gam6, gam7, gam8]
for ax, g, t in zip(axs, gs, titles):
    plot_fit(g, X, y, ax, t)

Here we’ve seen the PyGAM package applied to fitting our model to the data. In the formula specification we see y ~ s(i) where i denotes the index of the column variable in the X data.

Over the range of of the x-axis we can see how the conditional expectation is more or less well fit to the data depending on how the penalities and complexity of the model is specified.

Optimising The Parameter Setting

We can see from the model summary what is going on under the hood. For a given model specification the summary will report a number of model-fit statistics such as the log-likelihood and the AIC.

## Naive Model manually specified splines
gam_raw = LinearGAM(s(0)).fit(X, y)
print("log_likelihood:", gam_raw.statistics_['loglikelihood'])
print("AIC:", gam_raw.statistics_['AIC'])

log_likelihood: -954.5558010528869
AIC: 1931.5965064139743

The question then becomes what changes are induced in the model as we seek to optimise these model fit statistics.

## model optimised
gam = LinearGAM(s(0),  fit_intercept=False)
gam.gridsearch(X, y)
gam.summary()

  0% (0 of 11) |                         | Elapsed Time: 0:00:00 ETA:  --:--:--

  9% (1 of 11) |##                       | Elapsed Time: 0:00:00 ETA:   0:00:00

100% (11 of 11) |########################| Elapsed Time: 0:00:00 Time:  0:00:00

LinearGAM                                                                                                 
=============================================== ==========================================================
Distribution:                        NormalDist Effective DoF:                                     11.8135
Link Function:                     IdentityLink Log Likelihood:                                  -952.2409
Number of Samples:                          133 AIC:                                             1930.1088
                                                AICc:                                            1933.0789
                                                GCV:                                              609.3811
                                                Scale:                                            512.7965
                                                Pseudo R-Squared:                                   0.7984
==========================================================================================================
Feature Function                  Lambda               Rank         EDoF         P > x        Sig. Code   
================================= ==================== ============ ============ ============ ============
s(0)                              [0.2512]             20           11.8         1.11e-16     ***         
==========================================================================================================
Significance codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

WARNING: Fitting splines and a linear function to a feature introduces a model identifiability problem
         which can cause p-values to appear significant when they are not.

WARNING: p-values calculated in this manner behave correctly for un-penalized models or models with
         known smoothing parameters, but when smoothing parameters have been estimated, the p-values
         are typically lower than they should be, meaning that the tests reject the null too readily.

Fortunately, this routine can be performed directly and results in the following differences between the naive and optimised model.

Plot the GAM fits

fig, ax = plt.subplots(figsize=(10, 6))
plot_fit(gam_raw, X, y, ax, "Unoptimised Fit", c1='orange', c2='green')
plot_fit(gam, X, y, ax, "Optimised Fit")

This is all well and good. We’ve seen an approach to modelling that can capture eccentric patterns in raw data. But how does it work and why should we care?

If you’re familiar with the nomenclature of machine learning, you should think of spline modelling as a variety of feature creation. It generates “synthetic” features over the range of the observed variable. These synthetic features are the splines in question.

Digression on the usage of “Splines”

The history of the term “spline” is related to the history of draftmanship. Historically splines were thin strips of flexible wood or plastic that could be bent or shaped around a weight or “knot” points to express a traceable curve over the space of a “numberline”. The elastic nature of the spline material allowed it to be bent around the knot points of curvature expressing a smooth or continuous bend.

The mathematical technique apes these properties by defining a curve over in an analogous way. We specify “knots” to carve up the support of the random variable \(X\) into portions that require different weighting schemes to represent the outcome \(y\)

Extracting the Splines

We can extract the spline features used in the PyGAM by invoking the following commands to first identify the knot points and create the b-spline basis appropriate for the variable \(X\).

knot_edges=utils.gen_edge_knots(X,dtype='numerical')
knots=np.linspace(knot_edges[0],knot_edges[-1],len(gam.coef_))

splines = utils.b_spline_basis(X, edge_knots=knot_edges, sparse=False)

splines_df = pd.DataFrame(splines, columns=[f'basis_{i}' for i in range(len(gam.coef_))])

splines_df.head(10)

	basis_0	basis_1	basis_2	basis_3	basis_4	basis_5	basis_6	basis_7	basis_8	basis_9	basis_10	basis_11	basis_12	basis_13	basis_14	basis_15	basis_16	basis_17	basis_18	basis_19
0	0.166667	0.666667	0.166667	0.000000	0.000000	0.000000	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
1	0.132997	0.661606	0.205334	0.000063	0.000000	0.000000	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
2	0.059688	0.594827	0.341426	0.004059	0.000000	0.000000	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
3	0.030095	0.518726	0.437481	0.013698	0.000000	0.000000	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
4	0.012374	0.428013	0.527144	0.032470	0.000000	0.000000	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
5	0.000000	0.040337	0.551431	0.399315	0.008917	0.000000	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
6	0.000000	0.018232	0.465467	0.492630	0.023671	0.000000	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
7	0.000000	0.011137	0.418489	0.535407	0.034967	0.000000	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
8	0.000000	0.000014	0.189310	0.664817	0.145859	0.000000	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
9	0.000000	0.000000	0.120914	0.656897	0.222015	0.000174	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0

These spline features range the extent of the of covariate space \(X\) defining “partitions” of the space. The model “learns” to capture the shape of the outcome variable \(y\) by figuring out how to weight the different portion of this spline basis matrix i.e. the linear combination of this basis matrix with the derived coefficients is a model of our outcome variable.

Note how each row is 0 everywhere except within the columns that represent a partition of \(X\). Additionally each row sum to unity. These properties are important because they ensure that any weighted combination of this basis represents the outcome variable in a controlled and quite granular manner. The more splines we use the more control we have of the representation.

Plotting the Weighted Spline

ax = splines_df.dot(gam.coef_).plot(title='Weighted Splines', label='Weighted Combination of Spline Basis', figsize=(10, 6))
ax.set_ylabel("Acceleration")
ax.set_xlabel("Time Steps")
ax.legend();

In this manner we can see how the specification of a spline basis can help us model eccentric curves in an outcome space.

Next we’ll see how to more directly work with the specification of basis splines, passing these feature matrices into Bambi models.

Bayesian Splines with bambi

Under the hood Bambi makes use of the patsy package formula syntax to specify spline basis terms.

knots_6 = np.linspace(0, np.max(X), 6+2)[1:-1]
knots_10 = np.linspace(0, np.max(X), 10+2)[1:-1]
knots_15 = np.linspace(0, np.max(X), 15+2)[1:-1]

df = pd.DataFrame({'X': X.flatten(), 'y': y})
formula1 = 'bs(X, degree=0, knots=knots_6)'
formula2 = 'bs(X, degree=1, knots=knots_6, intercept=True)'
formula3 = 'bs(X, degree=3, knots=knots_6, intercept=True)'
formula4 = 'bs(X, degree=3, knots=knots_10, intercept=True)'
formula5 = 'bs(X, degree=3, knots=knots_15, intercept=True)'
model_spline1 = bmb.Model(f"y ~ {formula1}", df)
model_spline2 = bmb.Model(f"y ~ {formula2}", df)
model_spline3 = bmb.Model(f"y ~ {formula3}", df)
model_spline4 = bmb.Model(f"y ~ {formula4}", df)
model_spline5 = bmb.Model(f"y ~ {formula5}", df)
model_spline5

       Formula: y ~ bs(X, degree=3, knots=knots_15, intercept=True)
        Family: gaussian
          Link: mu = identity
  Observations: 133
        Priors: 
    target = mu
        Common-level effects
            Intercept ~ Normal(mu: -25.5459, sigma: 226.5005)
            bs(X, degree=3, knots=knots_15, intercept=True) ~ Normal(mu: [0. 0. 0. 0. 0. 0. 0. 0. 0. 0. 0.
                0. 0. 0. 0. 0. 0. 0. 0.], sigma: [1209.5913 1309.9059 1516.6254  914.7421  803.2567
                526.1027  542.4563
              739.4915  590.0538  692.802   786.9096  707.6947  852.6529  792.6311
             1046.3175 1246.4855 1367.9865 1595.1739 1391.2518])
        
        Auxiliary parameters
            sigma ~ HalfStudentT(nu: 4.0, sigma: 48.14)

As you can see here we are specifying a range of different degrees of spline basis. The different degrees corresspond to the smoothness of the overlapping splines. The degree=0 splines mean we specify a piecewise constant basis i.e. 0 or 1 within each region of the partition. But we can add more degrees to see more flexible representations of the space.

model_spline5.build()
model_spline5.graph()

This will become clearer as we plot the various spline basis matrices below.

Plot the Spline Basis

The below functions extract the basis specification from each model and plots the basis design for an increasingly complex series of spline basis matrices.

def plot_spline_basis(basis, X, ax, title="Spline Basis"):
    df = (
        pd.DataFrame(basis)
        .assign(X=X)
        .melt("X", var_name="basis_idx", value_name="y")
    )


    for idx in df.basis_idx.unique():
        d = df[df.basis_idx == idx]
        ax.plot(d["X"], d["y"])
    
    ax.set_title(title)
    return ax

def plot_knots(knots, ax):
    for knot in knots:
        ax.axvline(knot, color="0.1", alpha=0.4)
    return ax



fig, axs = plt.subplots(5, 1, figsize=(9, 20))
axs = axs.flatten()
axs.flatten()
B1 = model_spline1.response_component.design.common[formula1]
plot_spline_basis(B1, df["X"].values, ax=axs[0], title="Piecewise Constant Basis")
plot_knots(knots_6, axs[0]);

B2 = model_spline2.response_component.design.common[formula2]
ax = plot_spline_basis(B2, df["X"].values, axs[1], 
title="Piecewise Linear Basis")
plot_knots(knots_6, axs[1]);

B3 = model_spline3.response_component.design.common[formula3]
ax = plot_spline_basis(B3, df["X"].values, axs[2], 
title="Cubic Spline Basis (6 Knots)")
plot_knots(knots_6, axs[2]);

B4 = model_spline4.response_component.design.common[formula4]
ax = plot_spline_basis(B4, df["X"].values, axs[3], 
title="Cubic Spline Basis (10 Knots)")
plot_knots(knots_10, axs[3]);


B5 = model_spline5.response_component.design.common[formula5]
ax = plot_spline_basis(B5, df["X"].values, axs[4], 
title="Cubic Spline Basis (15 Knots)")
plot_knots(knots_15, axs[4]);

Now that we’ve seen the nature of the modelling splines we’ll fit each model to the data and plot how the weighted splines matrices are able to represent the raw data.

Fit the Individual Spline Models

idata_spline1 = model_spline1.fit(random_seed=random_seed, idata_kwargs={"log_likelihood": True})

idata_spline2 = model_spline2.fit(random_seed=random_seed, idata_kwargs={"log_likelihood": True})

idata_spline3 = model_spline3.fit(random_seed=random_seed, idata_kwargs={"log_likelihood": True})

idata_spline4 = model_spline4.fit(random_seed=random_seed, idata_kwargs={"log_likelihood": True})

idata_spline5 = model_spline5.fit(random_seed=random_seed, idata_kwargs={"log_likelihood": True})

Plotting the fits

Plot the Weighted Mean

def plot_weighted_splines(B, idata, formula, ax, knots):
    posterior_stacked = az.extract(idata)
    wp = posterior_stacked[formula].mean("sample").values

    plot_spline_basis(B * wp.T, df["X"].values, ax)
    ax.plot(df.X.values, np.dot(B, wp.T), color="black", lw=3, label='Weighted Splines')
    plot_knots(knots, ax);
    ax.legend()



fig, axs = plt.subplots(5, 1, figsize=(10, 20))
axs = axs.flatten()
axs.flatten()

plot_weighted_splines(B1, idata_spline1, formula1, axs[0], knots_6)
plot_weighted_splines(B2, idata_spline2, formula2, axs[1], knots_6)
plot_weighted_splines(B3, idata_spline3, formula3, axs[2], knots_6)
plot_weighted_splines(B4, idata_spline4, formula4, axs[3], knots_10)
plot_weighted_splines(B5, idata_spline5, formula5, axs[4], knots_15)

Here we can see how the models with increasingly complex splines are more exactly able to fit the herky jerky trajectory of the outcome variable in each interval. The fewer the intervals, the less flexibility available to the model.

Compare Model Fits

As before we can evaluate these model fits and compare them based on leave-one-out cross validation scores and information theoretic complexity measures.

fig, axs = plt.subplots(2, 1, figsize=(9, 16))
axs = axs.flatten()
models_dict = {"piecewise_constant": idata_spline1, "piecewise_linear": idata_spline2, "cubic_bspline": idata_spline3, "cubic_bspline_10": idata_spline4, 
"cubic_bspline_15": idata_spline5}
df_compare = az.compare(models_dict)
az.plot_compare(df_compare, ax=axs[0])
az.plot_compare(az.compare(models_dict, 'waic'), ax=axs[1])

df_compare

	rank	elpd_loo	p_loo	elpd_diff	weight	se	dse	warning	scale
cubic_bspline_10	0	-612.274608	11.462200	0.000000	9.030402e-01	9.689854	0.000000	True	log
cubic_bspline_15	1	-616.252712	15.566839	3.978104	2.408230e-14	9.833120	1.374420	True	log
cubic_bspline	2	-634.729956	8.698337	22.455348	5.894750e-03	8.897139	6.637243	True	log
piecewise_constant	3	-643.781042	6.981098	31.506433	5.164397e-02	9.770740	8.719803	False	log
piecewise_linear	4	-647.267410	6.170543	34.992802	3.942108e-02	7.902853	8.094122	False	log

Here we see that the extra complexity of using 15 splines leads to slightly worse performance measures than the less complex but seemingly adequate 10 splines.

new_data = pd.DataFrame({"X": np.linspace(df.X.min(), df.X.max(), num=500)})
    
model_spline4.predict(idata_spline4, data=new_data, 
kind='pps', inplace=True)

idata_spline4

arviz.InferenceData

• posterior

  <xarray.Dataset>
  Dimensions:                                              (chain: 4, draw: 1000,
                                                            bs(X, degree=3, knots=knots_10, intercept=True)_dim: 14,
                                                            y_obs: 500)
  Coordinates:
    * chain                                                (chain) int64 0 1 2 3
    * draw                                                 (draw) int64 0 ... 999
    * bs(X, degree=3, knots=knots_10, intercept=True)_dim  (bs(X, degree=3, knots=knots_10, intercept=True)_dim) int64 ...
    * y_obs                                                (y_obs) int64 0 ... 499
  Data variables:
      Intercept                                            (chain, draw) float64 ...
      bs(X, degree=3, knots=knots_10, intercept=True)      (chain, draw, bs(X, degree=3, knots=knots_10, intercept=True)_dim) float64 ...
      y_sigma                                              (chain, draw) float64 ...
      y_mean                                               (chain, draw, y_obs) float64 ...
  Attributes:
      created_at:                  2024-04-06T22:01:45.491675
      arviz_version:               0.17.0
      inference_library:           pymc
      inference_library_version:   5.10.3
      sampling_time:               7.816289663314819
      tuning_steps:                1000
      modeling_interface:          bambi
      modeling_interface_version:  0.13.0

  xarray.Dataset

  • Dimensions:
    • chain: 4
    • draw: 1000
    • bs(X, degree=3, knots=knots_10, intercept=True)_dim: 14
    • y_obs: 500
  • Coordinates: (4)
    • chain
      (chain)
      int64
      0 1 2 3

      array([0, 1, 2, 3])

    • draw
      (draw)
      int64
      0 1 2 3 4 5 ... 995 996 997 998 999

      array([  0,   1,   2, ..., 997, 998, 999])

    • bs(X, degree=3, knots=knots_10, intercept=True)_dim
      (bs(X, degree=3, knots=knots_10, intercept=True)_dim)
      int64
      0 1 2 3 4 5 6 7 8 9 10 11 12 13

      array([ 0,  1,  2,  3,  4,  5,  6,  7,  8,  9, 10, 11, 12, 13])

    • y_obs
      (y_obs)
      int64
      0 1 2 3 4 5 ... 495 496 497 498 499

      array([  0,   1,   2, ..., 497, 498, 499])

  • Data variables: (4)
    • Intercept
      (chain, draw)
      float64
      120.7 -78.41 ... -232.5 -643.4

      array([[ 120.72584539,  -78.40580422, -118.60611945, ...,  121.36419414,
                52.12206675,   90.06865862],
             [ 291.01103275,  312.46955149,  308.2759726 , ..., -220.74994434,
              -221.19586572,  -78.03959137],
             [ -57.96616669,  -65.14951557,  -64.54323192, ..., -482.63520675,
              -482.65677386, -573.52625484],
             [  20.74229491,   77.83153878, -247.93379991, ...,   65.82607356,
              -232.50087738, -643.35960726]])

    • bs(X, degree=3, knots=knots_10, intercept=True)
      (chain, draw, bs(X, degree=3, knots=knots_10, intercept=True)_dim)
      float64
      -122.5 -104.7 ... 637.6 658.6

      array([[[-122.51456067, -104.70757172, -175.78361558, ...,
               -174.58434243,  -97.34264578, -102.47263963],
              [ 105.50470928,  124.7220653 ,   33.02663892, ...,
                 89.63888488,   71.98876682,   99.43913998],
              [ 173.8138609 ,  122.93634145,   60.63548382, ...,
                126.34767578,  125.72172157,  124.27519687],
              ...,
              [-129.48947665, -133.8751114 ,  -88.17353256, ...,
               -122.90446001,  -98.68979663, -149.89281942],
              [ -62.46559992,  -51.11802837,  -95.27067198, ...,
                -41.59539533,  -95.55061917,  -26.39452763],
              [-105.76964538,  -67.0628142 , -134.27233257, ...,
                -49.46032459, -109.82897323,  -90.13466357]],
      
             [[-272.00907129, -272.64520274, -334.1766197 , ...,
               -289.13898071, -296.13606486, -241.3559082 ],
              [-298.72105583, -337.79947478, -316.33303683, ...,
               -321.21665736, -329.86550648, -253.04144959],
              [-323.23183958, -292.06228196, -314.90163154, ...,
               -304.68777643, -297.05477119, -318.64761093],
      ...
              [ 477.17587705,  499.6239322 ,  461.37436802, ...,
                477.05862047,  478.47905055,  514.22366147],
              [ 452.27949475,  523.25026011,  490.73871756, ...,
                448.47506477,  481.63415724,  495.25484626],
              [ 574.13363756,  543.05517393,  552.35598572, ...,
                562.15450166,  571.92641053,  574.61599379]],
      
             [[   7.15842977,  -35.50085456,  -39.01712756, ...,
                  2.39622912,  -52.60133213,   -2.64882026],
              [ -93.19055724,  -69.60274766,  -78.62672525, ...,
                -63.09693048,  -77.05374075,  -50.27036963],
              [ 239.28913699,  274.1687879 ,  231.51398046, ...,
                261.3116388 ,  273.46650709,  260.73531636],
              ...,
              [ -34.3785626 ,  -80.18013599,  -55.9986712 , ...,
                -49.31585595,  -47.86184608,  -51.1751459 ],
              [ 211.8392298 ,  231.02249938,  158.52862855, ...,
                230.46474541,  226.78091415,  233.24213068],
              [ 641.23615142,  625.0061391 ,  667.13099333, ...,
                642.96378814,  637.6410361 ,  658.56934271]]])

    • y_sigma
      (chain, draw)
      float64
      24.99 21.28 22.98 ... 25.23 21.84

      array([[24.98537118, 21.28410029, 22.98278315, ..., 22.15024605,
              25.83916891, 24.71910159],
             [22.65742272, 22.71266799, 22.69326195, ..., 20.55187844,
              20.58224527, 22.16901817],
             [21.74245967, 21.66477858, 21.8756041 , ..., 22.68001903,
              22.65695398, 21.51621838],
             [21.61516254, 22.25846889, 21.11554604, ..., 21.2788373 ,
              25.23339084, 21.84058935]])

    • y_mean
      (chain, draw, y_obs)
      float64
      -1.789 0.1031 1.626 ... 13.91 15.21

      array([[[-1.78871528e+00,  1.03085485e-01,  1.62569616e+00, ...,
                1.86747780e+01,  1.85204557e+01,  1.82532058e+01],
              [ 2.70989051e+01,  2.91166817e+01,  3.06889981e+01, ...,
                1.77447137e+01,  1.93417554e+01,  2.10333358e+01],
              [ 5.52077414e+01,  4.93863093e+01,  4.38241724e+01, ...,
                5.84613354e+00,  5.75920763e+00,  5.66907742e+00],
              ...,
              [-8.12528250e+00, -8.54685180e+00, -8.79218142e+00, ...,
               -2.23722757e+01, -2.53676528e+01, -2.85286253e+01],
              [-1.03435332e+01, -9.13608318e+00, -8.15986093e+00, ...,
                1.74678855e+01,  2.14722713e+01,  2.57275391e+01],
              [-1.57009868e+01, -1.14520878e+01, -7.74519669e+00, ...,
               -2.30115247e+00, -1.24812891e+00, -6.60049429e-02]],
      
             [[ 1.90019615e+01,  1.88337273e+01,  1.84856681e+01, ...,
                4.30189011e+01,  4.62607691e+01,  4.96551245e+01],
              [ 1.37484957e+01,  9.38608034e+00,  5.43201445e+00, ...,
                5.01187900e+01,  5.46671171e+01,  5.94281019e+01],
              [-1.49558670e+01, -1.14852377e+01, -8.35705538e+00, ...,
               -7.76904017e+00, -9.03696042e+00, -1.03716383e+01],
      ...
              [-5.45932970e+00, -2.99400930e+00, -8.40689790e-01, ...,
                2.72430528e+01,  2.93696997e+01,  3.15884547e+01],
              [-3.03772791e+01, -2.24442507e+01, -1.52319734e+01, ...,
                1.08571644e+01,  1.17310518e+01,  1.25980724e+01],
              [ 6.07382720e-01, -2.87409118e+00, -6.05364704e+00, ...,
                7.37590235e-01,  9.16407247e-01,  1.08973896e+00]],
      
             [[ 2.79007247e+01,  2.30962227e+01,  1.86562455e+01, ...,
                1.21692488e+01,  1.50304240e+01,  1.80934746e+01],
              [-1.53590185e+01, -1.27196519e+01, -1.03147655e+01, ...,
                2.43435821e+01,  2.59084898e+01,  2.75611691e+01],
              [-8.64466291e+00, -4.78781691e+00, -1.36587402e+00, ...,
                1.43155480e+01,  1.35833254e+01,  1.28015165e+01],
              ...,
              [ 3.14475110e+01,  2.63328858e+01,  2.16930058e+01, ...,
                1.50491956e+01,  1.48554961e+01,  1.46509277e+01],
              [-2.06616476e+01, -1.86172004e+01, -1.69580267e+01, ...,
               -3.42008269e-02,  3.42761755e-01,  7.41253307e-01],
              [-2.12345584e+00, -3.88306683e+00, -5.37296237e+00, ...,
                1.26814258e+01,  1.39147124e+01,  1.52097355e+01]]])

  • Indexes: (4)
    • chain
      PandasIndex

      PandasIndex(Index([0, 1, 2, 3], dtype='int64', name='chain'))

    • draw
      PandasIndex

      PandasIndex(Index([  0,   1,   2,   3,   4,   5,   6,   7,   8,   9,
             ...
             990, 991, 992, 993, 994, 995, 996, 997, 998, 999],
            dtype='int64', name='draw', length=1000))

    • bs(X, degree=3, knots=knots_10, intercept=True)_dim
      PandasIndex

      PandasIndex(Index([0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13], dtype='int64', name='bs(X, degree=3, knots=knots_10, intercept=True)_dim'))

    • y_obs
      PandasIndex

      PandasIndex(Index([  0,   1,   2,   3,   4,   5,   6,   7,   8,   9,
             ...
             490, 491, 492, 493, 494, 495, 496, 497, 498, 499],
            dtype='int64', name='y_obs', length=500))

  • Attributes: (8)

    created_at :

    2024-04-06T22:01:45.491675

    arviz_version :

    0.17.0

    inference_library :

    pymc

    inference_library_version :

    5.10.3

    sampling_time :

    7.816289663314819

    tuning_steps :

    1000

    modeling_interface :

    bambi

    modeling_interface_version :

    0.13.0

  
  
• posterior_predictive

  <xarray.Dataset>
  Dimensions:  (chain: 4, draw: 1000, y_obs: 500)
  Coordinates:
    * chain    (chain) int64 0 1 2 3
    * draw     (draw) int64 0 1 2 3 4 5 6 7 8 ... 992 993 994 995 996 997 998 999
    * y_obs    (y_obs) int64 0 1 2 3 4 5 6 7 8 ... 492 493 494 495 496 497 498 499
  Data variables:
      y        (chain, draw, y_obs) float64 24.86 -16.45 34.86 ... -21.51 -48.83
  Attributes:
      modeling_interface:          bambi
      modeling_interface_version:  0.13.0

  xarray.Dataset

  • Dimensions:
    • chain: 4
    • draw: 1000
    • y_obs: 500
  • Coordinates: (3)
    • chain
      (chain)
      int64
      0 1 2 3

      array([0, 1, 2, 3])

    • draw
      (draw)
      int64
      0 1 2 3 4 5 ... 995 996 997 998 999

      array([  0,   1,   2, ..., 997, 998, 999])

    • y_obs
      (y_obs)
      int64
      0 1 2 3 4 5 ... 495 496 497 498 499

      array([  0,   1,   2, ..., 497, 498, 499])

  • Data variables: (1)
    • y
      (chain, draw, y_obs)
      float64
      24.86 -16.45 ... -21.51 -48.83

      array([[[ 24.85640839, -16.44979861,  34.85918584, ...,  35.95445163,
                21.01032426, -19.92176415],
              [ 47.99651343,  21.73771002,  16.09721654, ..., -33.56104689,
                32.77707023,  50.21524679],
              [ 97.75895215,  29.71285683,  56.49489269, ...,  30.08086074,
                -5.45839514, -16.26615088],
              ...,
              [-19.0491818 ,   7.93130607, -23.43603593, ..., -39.41460719,
               -16.57629248, -27.21345045],
              [ 15.14127557, -22.16872549, -53.48094315, ...,  -0.52263234,
               -13.18854661,  64.06899818],
              [ 18.6035208 ,  48.31203299,  13.45267828, ...,   8.58793264,
                32.6478692 ,  14.39161234]],
      
             [[ 63.08425324,  -2.14581869,  25.11416216, ...,  29.35679819,
                90.51485262,  43.74795599],
              [ 49.88371721,  20.42382399,  -4.91857023, ...,  60.67816268,
                88.21712631,  49.20544017],
              [-18.80052378,  -0.74437061, -54.68656497, ..., -40.16502653,
                16.02278879, -15.19912692],
      ...
              [-11.68077069,  15.02833413,  -6.36211429, ...,  36.64425314,
                21.90821214,  13.43810434],
              [-10.79262863, -48.95097662, -21.92274307, ...,  23.12205182,
               -21.2390442 ,   0.15716726],
              [  5.668863  ,  32.16340181, -48.1199306 , ...,   2.27628294,
               -15.33296474,  38.82243801]],
      
             [[ 74.46450937,  38.5219155 ,   6.15252903, ...,  39.47220644,
                17.74033628,  11.25648484],
              [-15.24510135, -16.39317673,  19.96496789, ...,  31.60903005,
                12.72116057,  27.62694145],
              [ -1.96513875, -12.8641942 ,  26.33572721, ...,  31.44080842,
                17.12659913,  20.56476559],
              ...,
              [  9.59174258,  -6.85425535,  62.89427155, ...,  18.01908313,
                23.94771885,  10.05564043],
              [  2.90082329, -18.13575847,  -5.20769599, ...,   6.68566464,
               -32.01125266,  35.19085912],
              [  4.75318258,  13.76229647,   6.11014024, ..., -14.87795809,
               -21.51180144, -48.82645488]]])

  • Indexes: (3)
    • chain
      PandasIndex

      PandasIndex(Index([0, 1, 2, 3], dtype='int64', name='chain'))

    • draw
      PandasIndex

      PandasIndex(Index([  0,   1,   2,   3,   4,   5,   6,   7,   8,   9,
             ...
             990, 991, 992, 993, 994, 995, 996, 997, 998, 999],
            dtype='int64', name='draw', length=1000))

    • y_obs
      PandasIndex

      PandasIndex(Index([  0,   1,   2,   3,   4,   5,   6,   7,   8,   9,
             ...
             490, 491, 492, 493, 494, 495, 496, 497, 498, 499],
            dtype='int64', name='y_obs', length=500))

  • Attributes: (2)

    modeling_interface :

    bambi

    modeling_interface_version :

    0.13.0

  
  
• log_likelihood

  <xarray.Dataset>
  Dimensions:  (chain: 4, draw: 1000, y_obs: 133)
  Coordinates:
    * chain    (chain) int64 0 1 2 3
    * draw     (draw) int64 0 1 2 3 4 5 6 7 8 ... 992 993 994 995 996 997 998 999
    * y_obs    (y_obs) int64 0 1 2 3 4 5 6 7 8 ... 125 126 127 128 129 130 131 132
  Data variables:
      y        (chain, draw, y_obs) float64 -4.14 -4.143 -4.178 ... -4.008 -4.024
  Attributes:
      created_at:                  2024-04-06T22:01:45.597101
      arviz_version:               0.17.0
      inference_library:           pymc
      inference_library_version:   5.10.3
      modeling_interface:          bambi
      modeling_interface_version:  0.13.0

  xarray.Dataset

  • Dimensions:
    • chain: 4
    • draw: 1000
    • y_obs: 133
  • Coordinates: (3)
    • chain
      (chain)
      int64
      0 1 2 3

      array([0, 1, 2, 3])

    • draw
      (draw)
      int64
      0 1 2 3 4 5 ... 995 996 997 998 999

      array([  0,   1,   2, ..., 997, 998, 999])

    • y_obs
      (y_obs)
      int64
      0 1 2 3 4 5 ... 128 129 130 131 132

      array([  0,   1,   2,   3,   4,   5,   6,   7,   8,   9,  10,  11,  12,  13,
              14,  15,  16,  17,  18,  19,  20,  21,  22,  23,  24,  25,  26,  27,
              28,  29,  30,  31,  32,  33,  34,  35,  36,  37,  38,  39,  40,  41,
              42,  43,  44,  45,  46,  47,  48,  49,  50,  51,  52,  53,  54,  55,
              56,  57,  58,  59,  60,  61,  62,  63,  64,  65,  66,  67,  68,  69,
              70,  71,  72,  73,  74,  75,  76,  77,  78,  79,  80,  81,  82,  83,
              84,  85,  86,  87,  88,  89,  90,  91,  92,  93,  94,  95,  96,  97,
              98,  99, 100, 101, 102, 103, 104, 105, 106, 107, 108, 109, 110, 111,
             112, 113, 114, 115, 116, 117, 118, 119, 120, 121, 122, 123, 124, 125,
             126, 127, 128, 129, 130, 131, 132])

  • Data variables: (1)
    • y
      (chain, draw, y_obs)
      float64
      -4.14 -4.143 ... -4.008 -4.024

      array([[[-4.13979163, -4.14290023, -4.17769349, ..., -4.18873926,
               -4.2140095 , -4.18292323],
              [-4.7874173 , -5.08745265, -5.35182326, ..., -4.07333741,
               -4.00381829, -4.09475182],
              [-6.93880952, -6.07172295, -4.48896904, ..., -4.06944286,
               -4.13680171, -4.07764243],
              ...,
              [-4.08406773, -4.07347472, -4.04134234, ..., -4.01843447,
               -4.12572447, -5.58505078],
              [-4.25095186, -4.20784082, -4.18040134, ..., -4.89211473,
               -4.37232929, -4.33994759],
              [-4.32823927, -4.16795339, -4.16177912, ..., -4.26197164,
               -4.1286758 , -4.22135968]],
      
             [[-4.39110458, -4.42381059, -4.31733995, ..., -4.09077766,
               -4.12720544, -5.51743881],
              [-4.22506921, -4.09580767, -4.08371844, ..., -4.2814755 ,
               -4.04651359, -6.34326444],
              [-4.25817634, -4.09755781, -4.07284227, ..., -4.0645694 ,
               -4.09961529, -4.47210136],
      ...
              [-4.06939374, -4.04042752, -4.1131353 , ..., -4.14023954,
               -4.07039226, -4.46454973],
              [-4.93820875, -4.26629647, -4.24927114, ..., -4.36538217,
               -4.04350644, -4.04291443],
              [-3.98814397, -4.00648981, -4.24790848, ..., -4.21120846,
               -3.98780992, -4.08749451]],
      
             [[-4.8254083 , -4.45449574, -4.00572678, ..., -4.49505401,
               -4.06764361, -4.0508328 ],
              [-4.25973202, -4.11195429, -4.02401481, ..., -4.03595185,
               -4.14220154, -4.30857712],
              [-4.05275145, -3.96948228, -4.15676226, ..., -4.05655505,
               -4.54214391, -3.97390066],
              ...,
              [-5.06871224, -4.60468571, -4.03137391, ..., -4.01366979,
               -4.38891768, -3.99388898],
              [-4.48234116, -4.34682584, -4.24183716, ..., -4.32301611,
               -4.1482937 , -4.22498708],
              [-4.00743504, -4.01790161, -4.04838083, ..., -4.16163376,
               -4.00754326, -4.02402652]]])

  • Indexes: (3)
    • chain
      PandasIndex

      PandasIndex(Index([0, 1, 2, 3], dtype='int64', name='chain'))

    • draw
      PandasIndex

      PandasIndex(Index([  0,   1,   2,   3,   4,   5,   6,   7,   8,   9,
             ...
             990, 991, 992, 993, 994, 995, 996, 997, 998, 999],
            dtype='int64', name='draw', length=1000))

    • y_obs
      PandasIndex

      PandasIndex(Index([  0,   1,   2,   3,   4,   5,   6,   7,   8,   9,
             ...
             123, 124, 125, 126, 127, 128, 129, 130, 131, 132],
            dtype='int64', name='y_obs', length=133))

  • Attributes: (6)

    created_at :

    2024-04-06T22:01:45.597101

    arviz_version :

    0.17.0

    inference_library :

    pymc

    inference_library_version :

    5.10.3

    modeling_interface :

    bambi

    modeling_interface_version :

    0.13.0

  
  
• sample_stats

  <xarray.Dataset>
  Dimensions:                (chain: 4, draw: 1000)
  Coordinates:
    * chain                  (chain) int64 0 1 2 3
    * draw                   (draw) int64 0 1 2 3 4 5 ... 994 995 996 997 998 999
  Data variables: (12/17)
      index_in_trajectory    (chain, draw) int64 -11 -49 18 4 23 ... -6 -10 57 73
      energy                 (chain, draw) float64 728.2 728.6 ... 729.9 729.2
      smallest_eigval        (chain, draw) float64 nan nan nan nan ... nan nan nan
      n_steps                (chain, draw) float64 47.0 119.0 55.0 ... 127.0 191.0
      largest_eigval         (chain, draw) float64 nan nan nan nan ... nan nan nan
      step_size_bar          (chain, draw) float64 0.04864 0.04864 ... 0.05827
      ...                     ...
      perf_counter_diff      (chain, draw) float64 0.002146 0.005251 ... 0.008523
      reached_max_treedepth  (chain, draw) bool False False False ... False False
      lp                     (chain, draw) float64 -719.5 -721.5 ... -722.1 -722.2
      process_time_diff      (chain, draw) float64 0.002146 0.005251 ... 0.008496
      diverging              (chain, draw) bool False False False ... False False
      tree_depth             (chain, draw) int64 6 7 6 4 6 6 7 5 ... 5 5 3 4 5 7 8
  Attributes:
      created_at:                  2024-04-06T22:01:45.498837
      arviz_version:               0.17.0
      inference_library:           pymc
      inference_library_version:   5.10.3
      sampling_time:               7.816289663314819
      tuning_steps:                1000
      modeling_interface:          bambi
      modeling_interface_version:  0.13.0

  xarray.Dataset

  • Dimensions:
    • chain: 4
    • draw: 1000
  • Coordinates: (2)
    • chain
      (chain)
      int64
      0 1 2 3

      array([0, 1, 2, 3])

    • draw
      (draw)
      int64
      0 1 2 3 4 5 ... 995 996 997 998 999

      array([  0,   1,   2, ..., 997, 998, 999])

  • Data variables: (17)
    • index_in_trajectory
      (chain, draw)
      int64
      -11 -49 18 4 23 ... -4 -6 -10 57 73

      array([[-11, -49,  18, ...,  -1, -41,  24],
             [  1, -12,  -6, ...,  -5,   6,  36],
             [ 10,  -9,   6, ..., -50,  -2, -39],
             [ 23,  20, -79, ..., -10,  57,  73]])

    • energy
      (chain, draw)
      float64
      728.2 728.6 728.7 ... 729.9 729.2

      array([[728.18596723, 728.63910955, 728.68291867, ..., 726.15946692,
              728.15252462, 728.32755882],
             [727.07623419, 734.70606106, 726.35671505, ..., 729.59093046,
              727.79530258, 731.22971686],
             [725.49576441, 726.18720915, 728.13394683, ..., 733.03357126,
              732.76920572, 733.40052227],
             [724.61509281, 726.47676375, 724.5785299 , ..., 724.49490896,
              729.90111393, 729.17952433]])

    • smallest_eigval
      (chain, draw)
      float64
      nan nan nan nan ... nan nan nan nan

      array([[nan, nan, nan, ..., nan, nan, nan],
             [nan, nan, nan, ..., nan, nan, nan],
             [nan, nan, nan, ..., nan, nan, nan],
             [nan, nan, nan, ..., nan, nan, nan]])

    • n_steps
      (chain, draw)
      float64
      47.0 119.0 55.0 ... 127.0 191.0

      array([[ 47., 119.,  55., ...,  15.,  63.,  63.],
             [  7.,  31.,  15., ...,  15.,  15., 191.],
             [ 39.,  31.,   7., ...,  63.,   7.,  63.],
             [ 47.,  47., 191., ...,  23., 127., 191.]])

    • largest_eigval
      (chain, draw)
      float64
      nan nan nan nan ... nan nan nan nan

      array([[nan, nan, nan, ..., nan, nan, nan],
             [nan, nan, nan, ..., nan, nan, nan],
             [nan, nan, nan, ..., nan, nan, nan],
             [nan, nan, nan, ..., nan, nan, nan]])

    • step_size_bar
      (chain, draw)
      float64
      0.04864 0.04864 ... 0.05827 0.05827

      array([[0.04863588, 0.04863588, 0.04863588, ..., 0.04863588, 0.04863588,
              0.04863588],
             [0.04742749, 0.04742749, 0.04742749, ..., 0.04742749, 0.04742749,
              0.04742749],
             [0.04865917, 0.04865917, 0.04865917, ..., 0.04865917, 0.04865917,
              0.04865917],
             [0.05827394, 0.05827394, 0.05827394, ..., 0.05827394, 0.05827394,
              0.05827394]])

    • step_size
      (chain, draw)
      float64
      0.03411 0.03411 ... 0.04662 0.04662

      array([[0.0341106 , 0.0341106 , 0.0341106 , ..., 0.0341106 , 0.0341106 ,
              0.0341106 ],
             [0.0362244 , 0.0362244 , 0.0362244 , ..., 0.0362244 , 0.0362244 ,
              0.0362244 ],
             [0.05352544, 0.05352544, 0.05352544, ..., 0.05352544, 0.05352544,
              0.05352544],
             [0.04661661, 0.04661661, 0.04661661, ..., 0.04661661, 0.04661661,
              0.04661661]])

    • perf_counter_start
      (chain, draw)
      float64
      1.535e+06 1.535e+06 ... 1.535e+06

      array([[1534782.173939  , 1534782.17613821, 1534782.18143796, ...,
              1534785.26767625, 1534785.26852058, 1534785.27131196],
             [1534782.45506208, 1534782.45549596, 1534782.45697363, ...,
              1534785.84144083, 1534785.84220558, 1534785.84296462],
             [1534782.18865875, 1534782.19049204, 1534782.19207333, ...,
              1534785.59976838, 1534785.60250513, 1534785.60290442],
             [1534781.95619558, 1534781.95832225, 1534781.96060379, ...,
              1534784.78617638, 1534784.78731483, 1534784.79298642]])

    • acceptance_rate
      (chain, draw)
      float64
      0.9972 0.6356 ... 0.2066 0.8484

      array([[0.9971757 , 0.6355526 , 0.96612276, ..., 0.64747254, 0.71357657,
              0.7219741 ],
             [1.        , 0.27075936, 0.74565784, ..., 0.91641409, 0.47375296,
              0.92149302],
             [0.77945693, 0.83027947, 0.61564097, ..., 0.97194468, 0.83515637,
              0.94039973],
             [0.38984477, 0.64599971, 0.95142926, ..., 0.98129117, 0.20662616,
              0.84836349]])

    • energy_error
      (chain, draw)
      float64
      -1.295 0.4866 ... 2.466 -2.027

      array([[-1.29520197,  0.48655253, -0.1923247 , ...,  0.58994059,
               0.44985186, -0.34697224],
             [-1.47586104,  3.20202654, -3.63691556, ..., -1.13411164,
               0.28089823, -0.07197861],
             [-0.40128224,  0.32078424,  0.79654477, ..., -0.16681335,
               0.34947932, -0.33374335],
             [-1.16776277,  0.28870592, -0.14708079, ..., -0.79104795,
               2.46552016, -2.02669323]])

    • max_energy_error
      (chain, draw)
      float64
      -1.295 1.177 ... 4.799 -2.488

      array([[-1.29520197,  1.17740215, -0.79436509, ...,  0.83609631,
               1.24649329,  1.51146204],
             [-2.00700873,  4.27155897, -3.63691556, ..., -1.13411164,
               1.77054196,  0.40193416],
             [ 0.86450083,  0.45763186,  1.02444297, ..., -0.56746775,
               0.46006735, -0.90094185],
             [ 3.08329139,  1.02752781,  0.40761122, ..., -0.79104795,
               4.79867847, -2.48802427]])

    • perf_counter_diff
      (chain, draw)
      float64
      0.002146 0.005251 ... 0.008523

      array([[0.00214638, 0.00525067, 0.00249337, ..., 0.00073404, 0.00273804,
              0.00272492],
             [0.00038396, 0.00142671, 0.00072121, ..., 0.00071963, 0.00071375,
              0.00832167],
             [0.00177933, 0.00151838, 0.00038396, ..., 0.00268767, 0.00035487,
              0.00269221],
             [0.00207571, 0.00222008, 0.00855617, ..., 0.00108958, 0.00562188,
              0.008523  ]])

    • reached_max_treedepth
      (chain, draw)
      bool
      False False False ... False False

      array([[False, False, False, ..., False, False, False],
             [False, False, False, ..., False, False, False],
             [False, False, False, ..., False, False, False],
             [False, False, False, ..., False, False, False]])

    • lp
      (chain, draw)
      float64
      -719.5 -721.5 ... -722.1 -722.2

      array([[-719.50369554, -721.47690958, -722.19648739, ..., -720.90699258,
              -722.11737354, -719.94485737],
             [-721.38353904, -725.29766925, -716.15058152, ..., -720.66343524,
              -721.87096626, -720.99884138],
             [-716.80750964, -720.48567373, -724.60478714, ..., -722.4035202 ,
              -725.60178312, -723.70808827],
             [-716.6405226 , -719.34578606, -717.52389822, ..., -718.05943729,
              -722.11823193, -722.16079379]])

    • process_time_diff
      (chain, draw)
      float64
      0.002146 0.005251 ... 0.008496

      array([[0.002146, 0.005251, 0.002493, ..., 0.000733, 0.002737, 0.002725],
             [0.000384, 0.001427, 0.000721, ..., 0.00072 , 0.000713, 0.008317],
             [0.00178 , 0.001509, 0.000384, ..., 0.002688, 0.000355, 0.002692],
             [0.002077, 0.002211, 0.008551, ..., 0.00109 , 0.005622, 0.008496]])

    • diverging
      (chain, draw)
      bool
      False False False ... False False

      array([[False, False, False, ..., False, False, False],
             [False, False, False, ..., False, False, False],
             [False, False, False, ..., False, False, False],
             [False, False, False, ..., False, False, False]])

    • tree_depth
      (chain, draw)
      int64
      6 7 6 4 6 6 7 5 ... 5 5 5 3 4 5 7 8

      array([[6, 7, 6, ..., 4, 6, 6],
             [3, 5, 4, ..., 4, 4, 8],
             [6, 5, 3, ..., 6, 3, 6],
             [6, 6, 8, ..., 5, 7, 8]])

  • Indexes: (2)
    • chain
      PandasIndex

      PandasIndex(Index([0, 1, 2, 3], dtype='int64', name='chain'))

    • draw
      PandasIndex

      PandasIndex(Index([  0,   1,   2,   3,   4,   5,   6,   7,   8,   9,
             ...
             990, 991, 992, 993, 994, 995, 996, 997, 998, 999],
            dtype='int64', name='draw', length=1000))

  • Attributes: (8)

    created_at :

    2024-04-06T22:01:45.498837

    arviz_version :

    0.17.0

    inference_library :

    pymc

    inference_library_version :

    5.10.3

    sampling_time :

    7.816289663314819

    tuning_steps :

    1000

    modeling_interface :

    bambi

    modeling_interface_version :

    0.13.0

  
  
• observed_data

  <xarray.Dataset>
  Dimensions:  (y_obs: 133)
  Coordinates:
    * y_obs    (y_obs) int64 0 1 2 3 4 5 6 7 8 ... 125 126 127 128 129 130 131 132
  Data variables:
      y        (y_obs) float64 0.0 -1.3 -2.7 0.0 -2.7 ... -2.7 10.7 -2.7 10.7
  Attributes:
      created_at:                  2024-04-06T22:01:45.501264
      arviz_version:               0.17.0
      inference_library:           pymc
      inference_library_version:   5.10.3
      modeling_interface:          bambi
      modeling_interface_version:  0.13.0

  xarray.Dataset

  • Dimensions:
    • y_obs: 133
  • Coordinates: (1)
    • y_obs
      (y_obs)
      int64
      0 1 2 3 4 5 ... 128 129 130 131 132

      array([  0,   1,   2,   3,   4,   5,   6,   7,   8,   9,  10,  11,  12,  13,
              14,  15,  16,  17,  18,  19,  20,  21,  22,  23,  24,  25,  26,  27,
              28,  29,  30,  31,  32,  33,  34,  35,  36,  37,  38,  39,  40,  41,
              42,  43,  44,  45,  46,  47,  48,  49,  50,  51,  52,  53,  54,  55,
              56,  57,  58,  59,  60,  61,  62,  63,  64,  65,  66,  67,  68,  69,
              70,  71,  72,  73,  74,  75,  76,  77,  78,  79,  80,  81,  82,  83,
              84,  85,  86,  87,  88,  89,  90,  91,  92,  93,  94,  95,  96,  97,
              98,  99, 100, 101, 102, 103, 104, 105, 106, 107, 108, 109, 110, 111,
             112, 113, 114, 115, 116, 117, 118, 119, 120, 121, 122, 123, 124, 125,
             126, 127, 128, 129, 130, 131, 132])

  • Data variables: (1)
    • y
      (y_obs)
      float64
      0.0 -1.3 -2.7 ... 10.7 -2.7 10.7

      array([   0. ,   -1.3,   -2.7,    0. ,   -2.7,   -2.7,   -2.7,   -1.3,
               -2.7,   -2.7,   -1.3,   -2.7,   -2.7,   -2.7,   -5.4,   -2.7,
               -5.4,    0. ,   -2.7,   -2.7,    0. ,  -13.3,   -5.4,   -5.4,
               -9.3,  -16. ,  -22.8,   -2.7,  -22.8,  -32.1,  -53.5,  -54.9,
              -40.2,  -21.5,  -21.5,  -50.8,  -42.9,  -26.8,  -21.5,  -50.8,
              -61.7,   -5.4,  -80.4,  -59. ,  -71. ,  -91.1,  -77.7,  -37.5,
              -85.6, -123.1, -101.9,  -99.1, -104.4, -112.5,  -50.8, -123.1,
              -85.6,  -72.3, -127.2, -123.1, -117.9, -134. , -101.9, -108.4,
             -123.1, -123.1, -128.5, -112.5,  -95.1,  -81.8,  -53.5,  -64.4,
              -57.6,  -72.3,  -44.3,  -26.8,   -5.4, -107.1,  -21.5,  -65.6,
              -16. ,  -45.6,  -24.2,    9.5,    4. ,   12. ,  -21.5,   37.5,
               46.9,  -17.4,   36.2,   75. ,    8.1,   54.9,   48.2,   46.9,
               16. ,   45.6,    1.3,   75. ,  -16. ,  -54.9,   69.6,   34.8,
               32.1,  -37.5,   22.8,   46.9,   10.7,    5.4,   -1.3,  -21.5,
              -13.3,   30.8,  -10.7,   29.4,    0. ,  -10.7,   14.7,   -1.3,
                0. ,   10.7,   10.7,  -26.8,  -14.7,  -13.3,    0. ,   10.7,
              -14.7,   -2.7,   10.7,   -2.7,   10.7])

  • Indexes: (1)
    • y_obs
      PandasIndex

      PandasIndex(Index([  0,   1,   2,   3,   4,   5,   6,   7,   8,   9,
             ...
             123, 124, 125, 126, 127, 128, 129, 130, 131, 132],
            dtype='int64', name='y_obs', length=133))

  • Attributes: (6)

    created_at :

    2024-04-06T22:01:45.501264

    arviz_version :

    0.17.0

    inference_library :

    pymc

    inference_library_version :

    5.10.3

    modeling_interface :

    bambi

    modeling_interface_version :

    0.13.0

  
  

Next we plot the posterior predictive distribution of our observed variable and compare against the observed data. Additionally we plot the 89th and 50% HDI.

ax = az.plot_hdi(new_data['X'], idata_spline4['posterior_predictive']['y'], fill_kwargs={'alpha': 0.2, 'color':'firebrick'}, hdi_prob=0.89, figsize=(10, 8))

az.plot_hdi(new_data['X'], idata_spline4['posterior_predictive']['y'], fill_kwargs={'alpha': 0.8, 'color':'firebrick'}, hdi_prob=0.5)

y_mean = idata_spline4['posterior_predictive']['y'].mean(dim=('chain', 'draw'))

ax.plot(new_data['X'], y_mean, label='Expected posterior predictive', color='k')
ax.set_xlabel("Time Point")
ax.set_ylabel("Acceleration")

ax.scatter(df['X'], df['y'], label='Observed Datapoints')

ax.legend()

ax.set_title("Posterior Predictive Distribution \n Based on 10 Knots");

This represents a good a clean model fit to the observed data using univariate spline smoothers. Next we’ll see another alternative approach to model this outcome variable using approximate gaussian processes.

Gaussian processes

The topic of gaussian processes is rich and detailed. Too rich to be fairly covered in this blog post, so we’ll just say that we’re using a method designed for function approximation that makes use of drawing samples from a multivariate normal distribution under a range of different covariance relationships.

These relationships can be somewhat intuitively interrogated by defining different combinations of covariance relationships with priors over the parameters governing the covariance of a sequence of points. For example consider the following parameterisations.

lengthscale = 3
sigma = 13
cov = sigma**2 * pm.gp.cov.ExpQuad(1, lengthscale)

X = np.linspace(0, 60, 200)[:, None]
K = cov(X).eval()

fig, ax = plt.subplots(figsize=(9, 7))
ax.plot(
    X,
    pm.draw(
        pm.MvNormal.dist(mu=np.zeros(len(K)), cov=K, shape=K.shape[0]), draws=10, random_seed=random_seed
    ).T,
)
plt.title(f"Samples from the GP prior \n lengthscale: {3}, sigma: {13}")
plt.ylabel("y")
plt.xlabel("X");

We’ve specified the range of X to reflect the support of the acceleration example and allowed the draws to be informed by a covariance function we have parameterised using the Exponentiated Quadratic kernel:

\[k(x, x') = \mathrm{exp}\left[ -\frac{(x - x')^2}{2 \ell^2} \right]\]

The patterns exhibited show a good range of “wiggliness” that they should be flexible enough to capture the shape of the acceleration, if we can calibrate the posterior of parameters against the observed data.

Priors on Gaussian Priors

Consider the following specification:

fig, ax = plt.subplots(figsize=(9, 7))
ax.hist(pm.draw(pm.InverseGamma.dist(mu=1, sigma=1), 1000), ec='black', bins=30);

fig, ax = plt.subplots(figsize=(9, 7))
ax.hist(pm.draw(pm.Exponential.dist(lam=1), 1000), ec='black', bins=30);

We use these to specify priors on the Hilbert space approximation of gaussian priors available in the Bambi package.

prior_hsgp = {
    "sigma": bmb.Prior("Exponential", lam=1), # amplitude
    "ell": bmb.Prior("InverseGamma", mu=1, sigma=1) # lengthscale
}

# This is the dictionary we pass to Bambi
priors = {
    "hsgp(X, m=10, c=1)": prior_hsgp,
    "sigma": bmb.Prior("HalfNormal", sigma=4)
}
model_hsgp = bmb.Model("y ~ 0 + hsgp(X, m=10, c=1)", df, priors=priors)
model_hsgp

       Formula: y ~ 0 + hsgp(X, m=10, c=1)
        Family: gaussian
          Link: mu = identity
  Observations: 133
        Priors: 
    target = mu
        HSGP contributions
            hsgp(X, m=10, c=1)
                cov: ExpQuad
                sigma ~ Exponential(lam: 1.0)
                ell ~ InverseGamma(mu: 1.0, sigma: 1.0)
        
        Auxiliary parameters
            sigma ~ HalfNormal(sigma: 4.0)

Here we’ve set the m=10 to determine the number of basis vectors used in the Hilbert space approximation. The idea differs in detail from the spline based approximations we’ve seen, but it’s perhaps useful to think of the process in the same vein.

idata = model_hsgp.fit(inference_method="nuts_numpyro",target_accept=0.95, random_seed=121195, 
idata_kwargs={"log_likelihood": True})
print(idata.sample_stats["diverging"].sum().to_numpy())

Compiling...

Compilation time = 0:00:01.052932

Sampling...

Sampling time = 0:00:01.776702

Transforming variables...

Transformation time = 0:00:00.173566

Computing Log Likelihood...

Log Likelihood time = 0:00:00.147482

0

This model fits and the sampling seems to have worked well.

az.plot_trace(idata, backend_kwargs={"layout": "constrained"}, figsize=(9, 15));

The lengthscale and sigma parameters we have learned by calibrating our priors against the data. The degree to which these parameters are meaningful depend a little on how familar you are with covariance matrix kernels and their properties, so we won’t dwell on the point here.

az.summary(idata, var_names=['hsgp(X, m=10, c=1)_ell', 'hsgp(X, m=10, c=1)_sigma', 'y_sigma', 'hsgp(X, m=10, c=1)_weights'])

	mean	sd	hdi_3%	hdi_97%	mcse_mean	mcse_sd	ess_bulk	ess_tail	r_hat
hsgp(X, m=10, c=1)_ell	3.301	0.666	2.099	4.567	0.016	0.011	1763.0	1815.0	1.0
hsgp(X, m=10, c=1)_sigma	23.675	2.679	18.925	28.847	0.069	0.049	1497.0	2167.0	1.0
y_sigma	20.589	1.121	18.590	22.751	0.019	0.014	3440.0	2485.0	1.0
hsgp(X, m=10, c=1)_weights[0]	-131.588	13.784	-157.019	-105.189	0.216	0.154	4071.0	3020.0	1.0
hsgp(X, m=10, c=1)_weights[1]	-94.391	18.010	-125.921	-58.020	0.363	0.256	2500.0	2876.0	1.0
hsgp(X, m=10, c=1)_weights[2]	106.121	20.717	69.627	147.247	0.458	0.324	2046.0	2563.0	1.0
hsgp(X, m=10, c=1)_weights[3]	149.289	22.154	106.508	188.107	0.521	0.368	1807.0	2467.0	1.0
hsgp(X, m=10, c=1)_weights[4]	-83.399	22.728	-124.812	-40.406	0.539	0.383	1776.0	2517.0	1.0
hsgp(X, m=10, c=1)_weights[5]	-125.322	23.273	-169.346	-82.187	0.531	0.377	1917.0	2940.0	1.0
hsgp(X, m=10, c=1)_weights[6]	37.835	21.153	-1.712	77.574	0.512	0.362	1713.0	2577.0	1.0
hsgp(X, m=10, c=1)_weights[7]	94.574	20.745	53.167	132.182	0.423	0.299	2393.0	3105.0	1.0
hsgp(X, m=10, c=1)_weights[8]	-1.494	17.184	-31.835	33.063	0.361	0.255	2264.0	2853.0	1.0
hsgp(X, m=10, c=1)_weights[9]	-45.442	15.955	-76.649	-16.636	0.289	0.208	3041.0	3183.0	1.0

But again we can sample from the posterior predictive distribution of the outcome variable

model_hsgp.predict(idata, data=new_data, 
kind='pps', inplace=True)

idata

arviz.InferenceData

• posterior

  <xarray.Dataset>
  Dimensions:                         (chain: 4, draw: 1000,
                                       hsgp(X, m=10, c=1)_weights_dim: 10,
                                       y_obs: 500)
  Coordinates:
    * chain                           (chain) int64 0 1 2 3
    * draw                            (draw) int64 0 1 2 3 4 ... 996 997 998 999
    * hsgp(X, m=10, c=1)_weights_dim  (hsgp(X, m=10, c=1)_weights_dim) int64 0 ...
    * y_obs                           (y_obs) int64 0 1 2 3 4 ... 496 497 498 499
  Data variables:
      hsgp(X, m=10, c=1)_weights_raw  (chain, draw, hsgp(X, m=10, c=1)_weights_dim) float64 ...
      y_sigma                         (chain, draw) float64 20.86 19.86 ... 21.17
      hsgp(X, m=10, c=1)_sigma        (chain, draw) float64 26.85 24.0 ... 18.06
      hsgp(X, m=10, c=1)_ell          (chain, draw) float64 3.861 3.509 ... 3.76
      hsgp(X, m=10, c=1)_weights      (chain, draw, hsgp(X, m=10, c=1)_weights_dim) float64 ...
      y_mean                          (chain, draw, y_obs) float64 -0.1748 ... ...
      hsgp(X, m=10, c=1)              (chain, draw, y_obs) float64 -0.1748 ... ...
  Attributes:
      created_at:                  2024-04-06T22:02:06.655718
      arviz_version:               0.17.0
      modeling_interface:          bambi
      modeling_interface_version:  0.13.0

  xarray.Dataset

  • Dimensions:
    • chain: 4
    • draw: 1000
    • hsgp(X, m=10, c=1)_weights_dim: 10
    • y_obs: 500
  • Coordinates: (4)
    • chain
      (chain)
      int64
      0 1 2 3

      array([0, 1, 2, 3])

    • draw
      (draw)
      int64
      0 1 2 3 4 5 ... 995 996 997 998 999

      array([  0,   1,   2, ..., 997, 998, 999])

    • hsgp(X, m=10, c=1)_weights_dim
      (hsgp(X, m=10, c=1)_weights_dim)
      int64
      0 1 2 3 4 5 6 7 8 9

      array([0, 1, 2, 3, 4, 5, 6, 7, 8, 9])

    • y_obs
      (y_obs)
      int64
      0 1 2 3 4 5 ... 495 496 497 498 499

      array([  0,   1,   2, ..., 497, 498, 499])

  • Data variables: (7)
    • hsgp(X, m=10, c=1)_weights_raw
      (chain, draw, hsgp(X, m=10, c=1)_weights_dim)
      float64
      -1.452 -0.974 ... 0.9659 -0.2453

      array([[[-1.45186697, -0.97401433,  1.51626692, ...,  1.84709969,
                0.92584892, -1.19616826],
              [-1.73799921, -1.55920285,  1.42827017, ...,  1.78787921,
               -1.14159607, -1.66042935],
              [-1.3059213 , -1.22687096,  2.0214052 , ...,  2.80079646,
                0.17462599, -0.06073935],
              ...,
              [-2.26781832, -1.21871881,  1.80249133, ...,  2.65551316,
                0.30040289, -0.7085128 ],
              [-2.23372877, -1.1832454 ,  1.74365597, ...,  2.71376469,
                0.41123845, -0.60671544],
              [-1.96117304, -1.13093178,  2.24600086, ...,  2.3750183 ,
               -0.00901474, -0.75147244]],
      
             [[-1.95999601, -1.27507311,  1.52467611, ...,  3.28813978,
               -0.1598232 , -1.10988783],
              [-1.59314189, -1.44864255,  1.95956808, ...,  2.01431167,
                1.0199955 , -0.8962025 ],
              [-1.8432561 , -1.32415496,  1.80874966, ...,  3.05464118,
                0.81105708, -1.02872434],
      ...
              [-1.94277245, -1.5433581 ,  1.78771407, ...,  2.11464836,
               -0.62470516, -1.01229181],
              [-1.96747626, -1.39055532,  1.24775496, ...,  2.93940091,
                0.46989555, -1.57735663],
              [-2.20654554, -1.042289  ,  1.46402154, ...,  3.37106106,
               -0.11061588, -2.15605928]],
      
             [[-1.68378706, -0.84035677,  1.41475357, ...,  2.46320953,
                0.88793346, -0.56144583],
              [-1.66959934, -1.01014124,  1.6874097 , ...,  2.71030445,
                0.68597924, -0.76198643],
              [-1.54563186, -0.89279988,  1.77115866, ...,  2.3842957 ,
                0.08392828, -0.78058783],
              ...,
              [-2.17148384, -1.59167361,  1.34960308, ...,  2.34802173,
                0.44912308, -1.0698665 ],
              [-1.31376138, -0.63355604,  1.97759132, ...,  1.8841587 ,
               -0.13453184, -1.36605679],
              [-2.0018976 , -1.36470426,  2.15352253, ...,  3.17100177,
                0.96590611, -0.24527631]]])

    • y_sigma
      (chain, draw)
      float64
      20.86 19.86 21.17 ... 20.12 21.17

      array([[20.85613959, 19.86298062, 21.16886643, ..., 19.48940449,
              19.31511941, 19.44304302],
             [18.5908299 , 21.71605063, 21.22255223, ..., 19.44547467,
              19.21042952, 22.0099345 ],
             [20.48425625, 21.17420065, 22.11318822, ..., 18.40825711,
              21.65013089, 22.05150211],
             [21.08143229, 20.7215663 , 22.60954219, ..., 21.15149371,
              20.11622356, 21.16568101]])

    • hsgp(X, m=10, c=1)_sigma
      (chain, draw)
      float64
      26.85 24.0 27.81 ... 26.09 18.06

      array([[26.84572148, 24.00472166, 27.80754218, ..., 23.34108117,
              23.72941745, 22.60241785],
             [22.01917097, 24.17709343, 26.16315265, ..., 22.03189338,
              22.17588023, 24.00832607],
             [24.12239909, 24.36393141, 25.79692715, ..., 24.33866729,
              20.63877848, 22.26540398],
             [25.41092492, 25.05093181, 28.3790263 , ..., 22.30157727,
              26.0901197 , 18.06420147]])

    • hsgp(X, m=10, c=1)_ell
      (chain, draw)
      float64
      3.861 3.509 3.695 ... 3.679 3.76

      array([[3.86057038, 3.50871714, 3.69475981, ..., 3.20961859, 3.07237787,
              2.99194079],
             [4.21093385, 4.11858175, 3.55744155, ..., 3.54737759, 2.43665447,
              3.67009957],
             [3.38790729, 3.56906294, 3.07026931, ..., 3.17401967, 4.77493695,
              4.1757221 ],
             [3.73124202, 3.62463311, 4.06803959, ..., 3.06030257, 3.67928011,
              3.75995625]])

    • hsgp(X, m=10, c=1)_weights
      (chain, draw, hsgp(X, m=10, c=1)_weights_dim)
      float64
      -120.2 -78.54 ... 27.36 -5.933

      array([[[-120.19159663,  -78.54474016,  117.04015633, ...,
                 88.13161831,   38.07210878,  -41.65695052],
              [-122.83658383, -107.83699596,   95.27680851, ...,
                 80.15736607,  -45.26655282,  -57.3944273 ],
              [-109.63228325, -100.55013819,  159.16260856, ...,
                141.94233647,    7.72311493,   -2.30700494],
              ...,
              [-149.23661164,  -78.75788623,  113.01499747, ...,
                119.40081633,   12.18790241,  -25.62639515],
              [-146.28304701,  -76.21158457,  109.23906639, ...,
                125.36332205,   17.28993874,  -22.96014529],
              [-120.75657952,  -68.54675039,  132.60289356, ...,
                105.03375274,   -0.36461133,  -27.50691292]],
      
             [[-138.76216692,  -87.49701007,   99.32062774, ...,
                120.85182044,   -4.92170357,  -28.04716014],
              [-122.53330814, -108.14123925,  139.17924148, ...,
                 82.74939574,   35.37871319,  -25.72818479],
              [-142.94342858, -100.42482592,  132.17632445, ...,
                148.36712045,   34.72137014,  -38.24384896],
      ...
              [-132.58698442, -103.47676242,  116.36868708, ...,
                 99.43921353,  -26.56716678,  -38.47612061],
              [-138.61535955,  -94.11467693,   78.98484564, ...,
                 89.13997713,   11.35087487,  -29.54951483],
              [-157.32953055,  -72.06983662,   96.1818003 , ...,
                126.1515611 ,   -3.47852942,  -55.82170316]],
      
             [[-129.78695588,  -63.20664967,  102.15003445, ...,
                113.4760498 ,   35.60103971,  -19.27405014],
              [-125.10213961,  -73.9587159 ,  118.87369923, ...,
                124.94562328,   27.73901676,  -26.61384578],
              [-138.71497899,  -77.82483202,  147.07295446, ...,
                116.05385128,    3.46342745,  -26.78443203],
              ...,
              [-133.39280566,  -96.17651826,   79.33895456, ...,
                102.02385007,   17.77408526,  -38.1416893 ],
              [-103.26872735,  -48.62806342,  145.87733997, ...,
                 89.78661037,   -5.60101795,  -48.90554932],
              [-110.1016679 ,  -73.21183754,  110.83494684, ...,
                103.40789151,   27.35517734,   -5.93337047]]])

    • y_mean
      (chain, draw, y_obs)
      float64
      -0.1748 -0.6437 ... 4.329e-15

      array([[[-1.74825831e-01, -6.43722945e-01, -1.10198757e+00, ...,
                8.81438724e-01,  4.41420533e-01,  1.00916482e-14],
              [ 3.99710952e+00,  4.36245618e+00,  4.70113794e+00, ...,
               -3.68931837e-01, -1.84461976e-01, -4.21486081e-15],
              [ 1.12371919e+01,  9.85417314e+00,  8.49086985e+00, ...,
               -4.14235314e-01, -2.07469138e-01, -4.74327547e-15],
              ...,
              [ 5.14480643e-01, -3.24968824e-01, -1.15248120e+00, ...,
                2.85647398e-02,  1.43964056e-02,  3.29822057e-16],
              [-1.15486831e+00, -2.03017733e+00, -2.88893220e+00, ...,
               -1.21523155e-01, -6.06829841e-02, -1.38598577e-15],
              [ 1.21777447e+01,  1.16287837e+01,  1.10821348e+01, ...,
                1.95250577e-01,  9.77499077e-02,  2.23450097e-15]],
      
             [[-2.44479507e+00, -2.94292536e+00, -3.43456273e+00, ...,
               -7.42363606e-01, -3.71378424e-01, -8.48736477e-15],
              [-3.36694245e+00, -3.93597519e+00, -4.48819398e+00, ...,
                1.45535040e+00,  7.28337111e-01,  1.66472919e-14],
              [ 1.86823417e-01, -1.03465399e+00, -2.23999952e+00, ...,
                3.24627418e-01,  1.62576930e-01,  3.71683234e-15],
      ...
              [-3.54206467e+00, -3.29770384e+00, -3.05890542e+00, ...,
               -8.07266002e-01, -4.03861987e-01, -9.22984926e-15],
              [-8.28095921e+00, -8.58481681e+00, -8.88022655e+00, ...,
               -1.37004285e-01, -6.83094783e-02, -1.55937910e-15],
              [ 1.05497489e+00,  4.74317876e-01, -1.10703434e-01, ...,
               -4.72148575e-01, -2.35887059e-01, -5.38850915e-15]],
      
             [[-4.02175043e+00, -4.75614076e+00, -5.46523621e+00, ...,
               -1.18443060e-01, -5.89840516e-02, -1.34595499e-15],
              [ 3.62393761e+00,  2.72714782e+00,  1.84762910e+00, ...,
               -9.97541423e-02, -4.96901944e-02, -1.13397909e-15],
              [ 1.18490633e+01,  1.10655715e+01,  1.02860360e+01, ...,
               -5.74333102e-01, -2.87269966e-01, -6.56480568e-15],
              ...,
              [-9.39146019e+00, -9.93167964e+00, -1.04627004e+01, ...,
                1.23581084e-01,  6.21200724e-02,  1.42193352e-15],
              [ 2.48719138e+01,  2.46289484e+01,  2.43707844e+01, ...,
               -9.35532279e-02, -4.65445693e-02, -1.06175818e-15],
              [-5.90472295e-01, -1.42675597e+00, -2.23855095e+00, ...,
                3.78505074e-01,  1.89406640e-01,  4.32904960e-15]]])

    • hsgp(X, m=10, c=1)
      (chain, draw, y_obs)
      float64
      -0.1748 -0.6437 ... 4.329e-15

      array([[[-1.74825831e-01, -6.43722945e-01, -1.10198757e+00, ...,
                8.81438724e-01,  4.41420533e-01,  1.00916482e-14],
              [ 3.99710952e+00,  4.36245618e+00,  4.70113794e+00, ...,
               -3.68931837e-01, -1.84461976e-01, -4.21486081e-15],
              [ 1.12371919e+01,  9.85417314e+00,  8.49086985e+00, ...,
               -4.14235314e-01, -2.07469138e-01, -4.74327547e-15],
              ...,
              [ 5.14480643e-01, -3.24968824e-01, -1.15248120e+00, ...,
                2.85647398e-02,  1.43964056e-02,  3.29822057e-16],
              [-1.15486831e+00, -2.03017733e+00, -2.88893220e+00, ...,
               -1.21523155e-01, -6.06829841e-02, -1.38598577e-15],
              [ 1.21777447e+01,  1.16287837e+01,  1.10821348e+01, ...,
                1.95250577e-01,  9.77499077e-02,  2.23450097e-15]],
      
             [[-2.44479507e+00, -2.94292536e+00, -3.43456273e+00, ...,
               -7.42363606e-01, -3.71378424e-01, -8.48736477e-15],
              [-3.36694245e+00, -3.93597519e+00, -4.48819398e+00, ...,
                1.45535040e+00,  7.28337111e-01,  1.66472919e-14],
              [ 1.86823417e-01, -1.03465399e+00, -2.23999952e+00, ...,
                3.24627418e-01,  1.62576930e-01,  3.71683234e-15],
      ...
              [-3.54206467e+00, -3.29770384e+00, -3.05890542e+00, ...,
               -8.07266002e-01, -4.03861987e-01, -9.22984926e-15],
              [-8.28095921e+00, -8.58481681e+00, -8.88022655e+00, ...,
               -1.37004285e-01, -6.83094783e-02, -1.55937910e-15],
              [ 1.05497489e+00,  4.74317876e-01, -1.10703434e-01, ...,
               -4.72148575e-01, -2.35887059e-01, -5.38850915e-15]],
      
             [[-4.02175043e+00, -4.75614076e+00, -5.46523621e+00, ...,
               -1.18443060e-01, -5.89840516e-02, -1.34595499e-15],
              [ 3.62393761e+00,  2.72714782e+00,  1.84762910e+00, ...,
               -9.97541423e-02, -4.96901944e-02, -1.13397909e-15],
              [ 1.18490633e+01,  1.10655715e+01,  1.02860360e+01, ...,
               -5.74333102e-01, -2.87269966e-01, -6.56480568e-15],
              ...,
              [-9.39146019e+00, -9.93167964e+00, -1.04627004e+01, ...,
                1.23581084e-01,  6.21200724e-02,  1.42193352e-15],
              [ 2.48719138e+01,  2.46289484e+01,  2.43707844e+01, ...,
               -9.35532279e-02, -4.65445693e-02, -1.06175818e-15],
              [-5.90472295e-01, -1.42675597e+00, -2.23855095e+00, ...,
                3.78505074e-01,  1.89406640e-01,  4.32904960e-15]]])

  • Indexes: (4)
    • chain
      PandasIndex

      PandasIndex(Index([0, 1, 2, 3], dtype='int64', name='chain'))

    • draw
      PandasIndex

      PandasIndex(Index([  0,   1,   2,   3,   4,   5,   6,   7,   8,   9,
             ...
             990, 991, 992, 993, 994, 995, 996, 997, 998, 999],
            dtype='int64', name='draw', length=1000))

    • hsgp(X, m=10, c=1)_weights_dim
      PandasIndex

      PandasIndex(Index([0, 1, 2, 3, 4, 5, 6, 7, 8, 9], dtype='int64', name='hsgp(X, m=10, c=1)_weights_dim'))

    • y_obs
      PandasIndex

      PandasIndex(Index([  0,   1,   2,   3,   4,   5,   6,   7,   8,   9,
             ...
             490, 491, 492, 493, 494, 495, 496, 497, 498, 499],
            dtype='int64', name='y_obs', length=500))

  • Attributes: (4)

    created_at :

    2024-04-06T22:02:06.655718

    arviz_version :

    0.17.0

    modeling_interface :

    bambi

    modeling_interface_version :

    0.13.0

  
  
• posterior_predictive

  <xarray.Dataset>
  Dimensions:  (chain: 4, draw: 1000, y_obs: 500)
  Coordinates:
    * chain    (chain) int64 0 1 2 3
    * draw     (draw) int64 0 1 2 3 4 5 6 7 8 ... 992 993 994 995 996 997 998 999
    * y_obs    (y_obs) int64 0 1 2 3 4 5 6 7 8 ... 492 493 494 495 496 497 498 499
  Data variables:
      y        (chain, draw, y_obs) float64 -3.183 -11.12 -34.09 ... -9.658 -12.72
  Attributes:
      modeling_interface:          bambi
      modeling_interface_version:  0.13.0

  xarray.Dataset

  • Dimensions:
    • chain: 4
    • draw: 1000
    • y_obs: 500
  • Coordinates: (3)
    • chain
      (chain)
      int64
      0 1 2 3

      array([0, 1, 2, 3])

    • draw
      (draw)
      int64
      0 1 2 3 4 5 ... 995 996 997 998 999

      array([  0,   1,   2, ..., 997, 998, 999])

    • y_obs
      (y_obs)
      int64
      0 1 2 3 4 5 ... 495 496 497 498 499

      array([  0,   1,   2, ..., 497, 498, 499])

  • Data variables: (1)
    • y
      (chain, draw, y_obs)
      float64
      -3.183 -11.12 ... -9.658 -12.72

      array([[[-3.18334940e+00, -1.11204999e+01, -3.40916545e+01, ...,
               -1.58237116e+01,  6.38076961e+00, -2.60034004e+01],
              [ 5.04232291e+00,  5.39256398e+00,  5.34780588e+00, ...,
               -2.31571277e+00,  1.82560229e+01, -6.30938073e+00],
              [ 2.81296462e+01, -1.87794093e+01,  6.44808546e+00, ...,
               -7.76452073e+00, -1.75849850e+01, -2.30228121e+01],
              ...,
              [-9.28965094e+00, -3.02716844e+01, -4.29052796e+01, ...,
                1.23497503e+01,  2.08672313e+01,  2.36543661e+01],
              [-1.90680977e+01, -1.44295098e+01,  2.68259853e+01, ...,
                1.91251590e+01,  3.52075066e+00, -4.24583214e+01],
              [ 3.01582342e+01,  1.92417872e+01,  2.08965160e+01, ...,
               -2.40425997e+01, -4.33992860e+01,  2.64737245e+01]],
      
             [[ 1.67641026e+01, -1.75947762e+01, -1.18738658e+01, ...,
                4.52240533e+01,  5.56453588e+00, -1.13772074e+01],
              [-3.72840764e+01,  5.65599699e+00, -9.89894997e+00, ...,
                1.23122377e+01,  7.38528142e+00,  4.18192608e+01],
              [-2.72981931e+00, -9.16371396e+00,  1.81175243e+01, ...,
               -4.47624901e+00,  2.20672481e+00,  2.16563198e+01],
      ...
              [ 1.72337001e+01, -2.13873987e+01, -1.73660048e+01, ...,
                1.11170699e+00, -1.61473354e+01,  2.15241644e+00],
              [ 6.11514729e-02,  5.15898730e+00, -7.62071597e+01, ...,
               -6.67962380e+00, -9.14879677e+00, -2.87552135e+01],
              [ 6.87612498e-01, -2.36079512e+01,  1.84370392e+01, ...,
                6.02257913e+00, -6.86058141e+00,  1.85850125e+01]],
      
             [[ 3.42702322e+01, -2.87805356e+01, -2.14384591e+01, ...,
                1.24343916e+01,  3.75470657e+01,  2.68926985e+01],
              [ 3.57550129e+00, -2.19447157e+00,  1.08614811e+01, ...,
               -1.81261402e+01,  4.12215222e+01, -2.59712217e+00],
              [-4.48278612e+00, -2.56363932e+01, -1.49811800e+01, ...,
                8.71101414e+00, -2.62877208e+00,  2.23222159e+01],
              ...,
              [ 4.67787673e+01, -3.42562097e+01,  5.84841392e+00, ...,
                9.53423542e+00,  7.03578477e-01,  1.02949259e+01],
              [ 1.69195982e+01,  3.90947736e+01,  5.59667524e+01, ...,
                1.34216471e+01,  1.88483444e+01, -1.61927057e+01],
              [-1.68548337e+01,  2.29067689e+01,  5.43885590e+01, ...,
               -6.82640214e+00, -9.65846916e+00, -1.27171066e+01]]])

  • Indexes: (3)
    • chain
      PandasIndex

      PandasIndex(Index([0, 1, 2, 3], dtype='int64', name='chain'))

    • draw
      PandasIndex

      PandasIndex(Index([  0,   1,   2,   3,   4,   5,   6,   7,   8,   9,
             ...
             990, 991, 992, 993, 994, 995, 996, 997, 998, 999],
            dtype='int64', name='draw', length=1000))

    • y_obs
      PandasIndex

      PandasIndex(Index([  0,   1,   2,   3,   4,   5,   6,   7,   8,   9,
             ...
             490, 491, 492, 493, 494, 495, 496, 497, 498, 499],
            dtype='int64', name='y_obs', length=500))

  • Attributes: (2)

    modeling_interface :

    bambi

    modeling_interface_version :

    0.13.0

  
  
• log_likelihood

  <xarray.Dataset>
  Dimensions:  (chain: 4, draw: 1000, y_obs: 133)
  Coordinates:
    * chain    (chain) int64 0 1 2 3
    * draw     (draw) int64 0 1 2 3 4 5 6 7 8 ... 992 993 994 995 996 997 998 999
    * y_obs    (y_obs) int64 0 1 2 3 4 5 6 7 8 ... 125 126 127 128 129 130 131 132
  Data variables:
      y        (chain, draw, y_obs) float64 -3.957 -3.957 -3.957 ... -4.013 -4.099
  Attributes:
      created_at:                  2024-04-06T22:02:06.659303
      arviz_version:               0.17.0
      modeling_interface:          bambi
      modeling_interface_version:  0.13.0

  xarray.Dataset

  • Dimensions:
    • chain: 4
    • draw: 1000
    • y_obs: 133
  • Coordinates: (3)
    • chain
      (chain)
      int64
      0 1 2 3

      array([0, 1, 2, 3])

    • draw
      (draw)
      int64
      0 1 2 3 4 5 ... 995 996 997 998 999

      array([  0,   1,   2, ..., 997, 998, 999])

    • y_obs
      (y_obs)
      int64
      0 1 2 3 4 5 ... 128 129 130 131 132

      array([  0,   1,   2,   3,   4,   5,   6,   7,   8,   9,  10,  11,  12,  13,
              14,  15,  16,  17,  18,  19,  20,  21,  22,  23,  24,  25,  26,  27,
              28,  29,  30,  31,  32,  33,  34,  35,  36,  37,  38,  39,  40,  41,
              42,  43,  44,  45,  46,  47,  48,  49,  50,  51,  52,  53,  54,  55,
              56,  57,  58,  59,  60,  61,  62,  63,  64,  65,  66,  67,  68,  69,
              70,  71,  72,  73,  74,  75,  76,  77,  78,  79,  80,  81,  82,  83,
              84,  85,  86,  87,  88,  89,  90,  91,  92,  93,  94,  95,  96,  97,
              98,  99, 100, 101, 102, 103, 104, 105, 106, 107, 108, 109, 110, 111,
             112, 113, 114, 115, 116, 117, 118, 119, 120, 121, 122, 123, 124, 125,
             126, 127, 128, 129, 130, 131, 132])

  • Data variables: (1)
    • y
      (chain, draw, y_obs)
      float64
      -3.957 -3.957 ... -4.013 -4.099

      array([[[-3.95662204, -3.95668036, -3.95697947, ..., -3.96786393,
               -4.06567925, -4.08819109],
              [-3.92804385, -3.95248402, -4.00438808, ..., -4.19279911,
               -3.90894979, -4.05289002],
              [-4.11236339, -4.08418887, -3.99366348, ..., -4.1948162 ,
               -3.97180293, -4.09921461],
              ...,
              [-3.88915792, -3.88893229, -3.89724674, ..., -4.04248536,
               -3.89847518, -4.03951892],
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             [[-3.85025382, -3.84763163, -3.85608195, ..., -4.34165517,
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      ...
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             [[-3.98552821, -3.98561292, -4.0079376 , ..., -4.15815157,
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              [-4.17463712, -4.17201421, -4.11695573, ..., -4.3197009 ,
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              ...,
              [-4.0692212 , -4.06241625, -4.09034963, ..., -4.09469991,
               -3.98159516, -4.09860353],
              [-4.68482086, -4.73793167, -4.72387693, ..., -4.11913623,
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              [-3.97170872, -3.97200671, -3.98370832, ..., -4.02417539,
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  • Indexes: (3)
    • chain
      PandasIndex

      PandasIndex(Index([0, 1, 2, 3], dtype='int64', name='chain'))

    • draw
      PandasIndex

      PandasIndex(Index([  0,   1,   2,   3,   4,   5,   6,   7,   8,   9,
             ...
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    • y_obs
      PandasIndex

      PandasIndex(Index([  0,   1,   2,   3,   4,   5,   6,   7,   8,   9,
             ...
             123, 124, 125, 126, 127, 128, 129, 130, 131, 132],
            dtype='int64', name='y_obs', length=133))

  • Attributes: (4)

    created_at :

    2024-04-06T22:02:06.659303

    arviz_version :

    0.17.0

    modeling_interface :

    bambi

    modeling_interface_version :

    0.13.0

  
  
• sample_stats

  <xarray.Dataset>
  Dimensions:          (chain: 4, draw: 1000)
  Coordinates:
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    * draw             (draw) int64 0 1 2 3 4 5 6 ... 993 994 995 996 997 998 999
  Data variables:
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      step_size        (chain, draw) float64 0.1631 0.1631 ... 0.1827 0.1827
      diverging        (chain, draw) bool False False False ... False False False
      energy           (chain, draw) float64 671.4 665.4 671.0 ... 670.8 674.0
      n_steps          (chain, draw) int64 31 31 31 15 15 31 ... 15 31 31 15 15 31
      tree_depth       (chain, draw) int64 5 5 5 4 4 5 5 4 4 ... 4 5 5 4 5 5 4 4 5
      lp               (chain, draw) float64 661.7 661.3 665.7 ... 665.6 668.8
  Attributes:
      created_at:                  2024-04-06T22:02:06.658295
      arviz_version:               0.17.0
      modeling_interface:          bambi
      modeling_interface_version:  0.13.0

  xarray.Dataset

  • Dimensions:
    • chain: 4
    • draw: 1000
  • Coordinates: (2)
    • chain
      (chain)
      int64
      0 1 2 3

      array([0, 1, 2, 3])

    • draw
      (draw)
      int64
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      array([  0,   1,   2, ..., 997, 998, 999])

  • Data variables: (7)
    • acceptance_rate
      (chain, draw)
      float64
      0.9484 0.989 ... 0.9905 0.9283

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    • step_size
      (chain, draw)
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              0.15280013],
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              0.1826574 ]])

    • diverging
      (chain, draw)
      bool
      False False False ... False False

      array([[False, False, False, ..., False, False, False],
             [False, False, False, ..., False, False, False],
             [False, False, False, ..., False, False, False],
             [False, False, False, ..., False, False, False]])

    • energy
      (chain, draw)
      float64
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      array([[671.39512608, 665.35858794, 670.96295141, ..., 670.72923684,
              668.42111758, 669.24601286],
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             [672.00375668, 668.16520377, 666.3166769 , ..., 671.79404347,
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             [669.46327702, 671.11966704, 667.28825365, ..., 665.11423361,
              670.79366043, 673.9890605 ]])

    • n_steps
      (chain, draw)
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      31 31 31 15 15 ... 31 31 15 15 31

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             [15, 31, 31, ..., 31, 31, 31],
             [31, 31, 15, ..., 15, 31, 15],
             [31, 15, 15, ..., 15, 15, 31]])

    • tree_depth
      (chain, draw)
      int64
      5 5 5 4 4 5 5 4 ... 5 5 4 5 5 4 4 5

      array([[5, 5, 5, ..., 5, 4, 4],
             [4, 5, 5, ..., 5, 5, 5],
             [5, 5, 4, ..., 4, 5, 4],
             [5, 4, 4, ..., 4, 4, 5]])

    • lp
      (chain, draw)
      float64
      661.7 661.3 665.7 ... 665.6 668.8

      array([[661.70967519, 661.2875458 , 665.70729556, ..., 661.40453042,
              661.53660449, 661.51768248],
             [662.47186408, 665.25230302, 666.28391286, ..., 662.10849958,
              668.1822538 , 664.18500466],
             [662.60487008, 660.69369885, 662.99303071, ..., 663.00720061,
              664.60205279, 667.39059102],
             [664.1010232 , 660.27378818, 664.08879552, ..., 661.26338997,
              665.58839085, 668.77321037]])

  • Indexes: (2)
    • chain
      PandasIndex

      PandasIndex(Index([0, 1, 2, 3], dtype='int64', name='chain'))

    • draw
      PandasIndex

      PandasIndex(Index([  0,   1,   2,   3,   4,   5,   6,   7,   8,   9,
             ...
             990, 991, 992, 993, 994, 995, 996, 997, 998, 999],
            dtype='int64', name='draw', length=1000))

  • Attributes: (4)

    created_at :

    2024-04-06T22:02:06.658295

    arviz_version :

    0.17.0

    modeling_interface :

    bambi

    modeling_interface_version :

    0.13.0

  
  
• observed_data

  <xarray.Dataset>
  Dimensions:  (y_obs: 133)
  Coordinates:
    * y_obs    (y_obs) int64 0 1 2 3 4 5 6 7 8 ... 125 126 127 128 129 130 131 132
  Data variables:
      y        (y_obs) float64 0.0 -1.3 -2.7 0.0 -2.7 ... -2.7 10.7 -2.7 10.7
  Attributes:
      created_at:                  2024-04-06T22:02:06.659574
      arviz_version:               0.17.0
      inference_library:           numpyro
      inference_library_version:   0.13.2
      sampling_time:               1.776702
      modeling_interface:          bambi
      modeling_interface_version:  0.13.0

  xarray.Dataset

  • Dimensions:
    • y_obs: 133
  • Coordinates: (1)
    • y_obs
      (y_obs)
      int64
      0 1 2 3 4 5 ... 128 129 130 131 132

      array([  0,   1,   2,   3,   4,   5,   6,   7,   8,   9,  10,  11,  12,  13,
              14,  15,  16,  17,  18,  19,  20,  21,  22,  23,  24,  25,  26,  27,
              28,  29,  30,  31,  32,  33,  34,  35,  36,  37,  38,  39,  40,  41,
              42,  43,  44,  45,  46,  47,  48,  49,  50,  51,  52,  53,  54,  55,
              56,  57,  58,  59,  60,  61,  62,  63,  64,  65,  66,  67,  68,  69,
              70,  71,  72,  73,  74,  75,  76,  77,  78,  79,  80,  81,  82,  83,
              84,  85,  86,  87,  88,  89,  90,  91,  92,  93,  94,  95,  96,  97,
              98,  99, 100, 101, 102, 103, 104, 105, 106, 107, 108, 109, 110, 111,
             112, 113, 114, 115, 116, 117, 118, 119, 120, 121, 122, 123, 124, 125,
             126, 127, 128, 129, 130, 131, 132])

  • Data variables: (1)
    • y
      (y_obs)
      float64
      0.0 -1.3 -2.7 ... 10.7 -2.7 10.7

      array([   0. ,   -1.3,   -2.7,    0. ,   -2.7,   -2.7,   -2.7,   -1.3,
               -2.7,   -2.7,   -1.3,   -2.7,   -2.7,   -2.7,   -5.4,   -2.7,
               -5.4,    0. ,   -2.7,   -2.7,    0. ,  -13.3,   -5.4,   -5.4,
               -9.3,  -16. ,  -22.8,   -2.7,  -22.8,  -32.1,  -53.5,  -54.9,
              -40.2,  -21.5,  -21.5,  -50.8,  -42.9,  -26.8,  -21.5,  -50.8,
              -61.7,   -5.4,  -80.4,  -59. ,  -71. ,  -91.1,  -77.7,  -37.5,
              -85.6, -123.1, -101.9,  -99.1, -104.4, -112.5,  -50.8, -123.1,
              -85.6,  -72.3, -127.2, -123.1, -117.9, -134. , -101.9, -108.4,
             -123.1, -123.1, -128.5, -112.5,  -95.1,  -81.8,  -53.5,  -64.4,
              -57.6,  -72.3,  -44.3,  -26.8,   -5.4, -107.1,  -21.5,  -65.6,
              -16. ,  -45.6,  -24.2,    9.5,    4. ,   12. ,  -21.5,   37.5,
               46.9,  -17.4,   36.2,   75. ,    8.1,   54.9,   48.2,   46.9,
               16. ,   45.6,    1.3,   75. ,  -16. ,  -54.9,   69.6,   34.8,
               32.1,  -37.5,   22.8,   46.9,   10.7,    5.4,   -1.3,  -21.5,
              -13.3,   30.8,  -10.7,   29.4,    0. ,  -10.7,   14.7,   -1.3,
                0. ,   10.7,   10.7,  -26.8,  -14.7,  -13.3,    0. ,   10.7,
              -14.7,   -2.7,   10.7,   -2.7,   10.7])

  • Indexes: (1)
    • y_obs
      PandasIndex

      PandasIndex(Index([  0,   1,   2,   3,   4,   5,   6,   7,   8,   9,
             ...
             123, 124, 125, 126, 127, 128, 129, 130, 131, 132],
            dtype='int64', name='y_obs', length=133))

  • Attributes: (7)

    created_at :

    2024-04-06T22:02:06.659574

    arviz_version :

    0.17.0

    inference_library :

    numpyro

    inference_library_version :

    0.13.2

    sampling_time :

    1.776702

    modeling_interface :

    bambi

    modeling_interface_version :

    0.13.0

  
  

and plot the model fit to see if it can recover the observed data.

ax = az.plot_hdi(new_data['X'], idata['posterior_predictive']['y'], fill_kwargs={'alpha': 0.2, 'color':'firebrick'}, figsize=(9, 8))

az.plot_hdi(new_data['X'], idata['posterior_predictive']['y'], fill_kwargs={'alpha': 0.8, 'color':'firebrick'}, hdi_prob=0.5)

y_mean = idata['posterior_predictive']['y'].mean(dim=('chain', 'draw'))

ax.plot(new_data['X'], y_mean, label='Expected posterior predictive', color='k')

ax.scatter(df['X'], df['y'], label='Observed Datapoints')

ax.legend()

ax.set_title("Posterior Predictive Distribution \n Based on HSGP approximation")

Text(0.5, 1.0, 'Posterior Predictive Distribution \n Based on HSGP approximation')

And we can compare versus the spline models to see that by the aggregate performance measures our HSGP model seems to come out on top.

models_dict = {"piecewise_constant": idata_spline1, "piecewise_linear": idata_spline2, "cubic_bspline": idata_spline3, "cubic_bspline_10": idata_spline4, 
"cubic_bspline_15": idata_spline5, 'hsgp': idata}
df_compare = az.compare(models_dict)
df_compare

	rank	elpd_loo	p_loo	elpd_diff	weight	se	dse	warning	scale
hsgp	0	-608.819770	9.958827	0.000000	0.873213	12.009698	0.000000	False	log
cubic_bspline_10	1	-612.278059	11.465651	3.458289	0.000000	9.688433	2.962396	True	log
cubic_bspline_15	2	-616.252712	15.566839	7.432943	0.000000	9.833120	3.457579	True	log
cubic_bspline	3	-634.729956	8.698337	25.910186	0.000000	8.897139	7.686648	True	log
piecewise_constant	4	-643.781042	6.981098	34.961272	0.069506	9.770740	9.490817	False	log
piecewise_linear	5	-647.267410	6.170543	38.447641	0.057282	7.902853	9.200728	False	log

Recap

So far we’ve seen how we can use splines and gauassian processes to model highly eccentric functional relationships where the function could be approximated with univariate smoothing routine. Next we’ll show how to use hierarchical modelling over spline fits to extract insight into the data generating process over a family of curves. In particular we’ll focus on the development of insurance loss curves.

Insurance Loss Curves: Hierarchical Spline Models

We draw on car insurance losses data set discussed in Mick Cooney’s Stan case-study, but we simplify things for ourselves considerably by focusing on one type of loss and ensuring that each year under consideration has equal observations of the accruing losses.

loss_df = pd.read_csv('ppauto_pos.csv')
loss_df = loss_df[(loss_df['GRCODE'].isin([43, 353])) & (loss_df['DevelopmentYear'] < 1998)]

loss_df = loss_df[['GRCODE', 'AccidentYear', 'DevelopmentYear', 'DevelopmentLag', 'EarnedPremDIR_B', 'CumPaidLoss_B']]


loss_df.columns = ['grcode', 'acc_year', 'dev_year', 'dev_lag', 'premium', 'cum_loss']
loss_df['lr'] = loss_df['cum_loss'] / loss_df['premium']
loss_df = loss_df[(loss_df['acc_year'] <= 1992) & (loss_df['dev_lag'] <= 6)].reset_index(drop=True)

loss_df['year_code'] = loss_df['acc_year'].astype(str) + '_' + loss_df['grcode'].astype(str)
loss_df.sort_values(by=['year_code', 'acc_year', 'dev_lag'], inplace=True)
loss_df['standardised_premium'] = (loss_df.assign(mean_premium = np.mean(loss_df['premium']))
.assign(std_premium = np.std(loss_df['premium']))
.apply(lambda x: (x['mean_premium'] - x['premium']) /x['std_premium'], axis=1)
)

loss_df.head(12)

	grcode	acc_year	dev_year	dev_lag	premium	cum_loss	lr	year_code	standardised_premium
30	353	1988	1988	1	18793	4339	0.230884	1988_353	-0.347453
31	353	1988	1989	2	18793	9617	0.511733	1988_353	-0.347453
32	353	1988	1990	3	18793	11584	0.616400	1988_353	-0.347453
33	353	1988	1991	4	18793	12001	0.638589	1988_353	-0.347453
34	353	1988	1992	5	18793	12640	0.672591	1988_353	-0.347453
35	353	1988	1993	6	18793	12966	0.689938	1988_353	-0.347453
0	43	1988	1988	1	957	133	0.138976	1988_43	1.722344
1	43	1988	1989	2	957	333	0.347962	1988_43	1.722344
2	43	1988	1990	3	957	431	0.450366	1988_43	1.722344
3	43	1988	1991	4	957	570	0.595611	1988_43	1.722344
4	43	1988	1992	5	957	615	0.642633	1988_43	1.722344
5	43	1988	1993	6	957	615	0.642633	1988_43	1.722344

### Plot the Loss Curves Here we have plotted the developing loss curves from two different coded insurance products.

ax = (loss_df.pivot(index=['dev_lag'], columns=['grcode', 'acc_year'], values='lr')).plot(figsize=(10, 6))
ax.set_title("Loss Ratios by Year");

We want to model these curves collectively as instances of draws from a distribution of loss curves. To do so we will specify a PyMC hierarchical (mixed) spline model. To do so we will have a spline basis for the global hyper parameters beta_g and the individual parameters for each curve. Here we define a convenience function to generate the basis splines.

from patsy import bs, dmatrix

def make_basis_splines(num_knots=3, max_dev=7):
    knot_list = np.linspace(0, max_dev, num_knots+2)[1:-1]
    dev_periods = np.arange(1, max_dev, 1)

    Bi = dmatrix(
        "bs(dev_periods, knots=knots, degree=3, include_intercept=True) - 1",
        {"dev_periods": dev_periods, "knots": knot_list},
    )

    Bg = dmatrix(
        "bs(dev_periods, knots=knots, degree=3, include_intercept=True) - 1",
        {"dev_periods": dev_periods, "knots": knot_list})


    return Bi, Bg

Bi, Bg = make_basis_splines()
Bg

DesignMatrix with shape (6, 7)
  Columns:
    ['bs(dev_periods, knots=knots, degree=3, include_intercept=True)[0]',
     'bs(dev_periods, knots=knots, degree=3, include_intercept=True)[1]',
     'bs(dev_periods, knots=knots, degree=3, include_intercept=True)[2]',
     'bs(dev_periods, knots=knots, degree=3, include_intercept=True)[3]',
     'bs(dev_periods, knots=knots, degree=3, include_intercept=True)[4]',
     'bs(dev_periods, knots=knots, degree=3, include_intercept=True)[5]',
     'bs(dev_periods, knots=knots, degree=3, include_intercept=True)[6]']
  Terms:
    'bs(dev_periods, knots=knots, degree=3, include_intercept=True)' (columns 0:7)
  (to view full data, use np.asarray(this_obj))

Next we specify a model maker function to create the various pooled, unpooled and hierarhical (mixed) models of the insurance curve data. Note that even though we’re specifying a hierarhical model we have not specified a hierarchy over the insurance codes, instead we have added this as a “fixed” effect feature into our regression model.

def make_model(loss_df, num_knots=3, max_dev=7, model_type='mixed'):
    Bi, Bg = make_basis_splines(num_knots, max_dev)
    observed = loss_df['lr'].values
    uniques, unique_codes = pd.factorize(loss_df['year_code'])
    coords= {'years': unique_codes, 
            'splines': list(range(Bi.shape[1])) ,
            'measurement': list(range(6)), 
            'obs': uniques
            }

    with pm.Model(coords=coords) as sp_insur:
        basis_g = pm.MutableData('Bg', np.asfortranarray(Bg))

        tau = pm.HalfCauchy('tau', 1)
        ## Global Hierarchical Spline Terms
        beta_g = pm.Normal("beta_g", mu=0, sigma=tau, 
        dims='splines')
        mu_g = pm.Deterministic("mu_g", pm.math.dot(basis_g, beta_g), dims='measurement')

        ## Individual or Year Specific Spline Modifications
        if model_type in ['mixed', 'unpooled']:
            basis_i = pm.MutableData('Bi', np.asfortranarray(Bi))
            beta = pm.Normal("beta", mu=0, sigma=tau, dims=('splines', 'years'))
            mui = pm.Deterministic("mui", pm.math.dot(basis_i, beta), dims=('measurement', 'years'))
        
        ## Features
        prem = pm.MutableData('prem', loss_df['standardised_premium'].values)
        grcode = pm.MutableData('grcode', loss_df['grcode'] == 43)

        beta_prem = pm.Normal('beta_prem', 0, 1)
        beta_grcode = pm.Normal('beta_grcode', 0, 1)
        mu_prem = beta_prem*prem
        mu_grcode = beta_grcode*grcode

        ## Likelihood
        sigma = pm.TruncatedNormal("sigma", 1, lower=0.05)
        if model_type == 'mixed':
            mu = pm.Deterministic('mu',  mu_grcode + mu_prem + (mu_g.T + mui.T).ravel(), dims='obs')
            lr_likelihood = pm.Normal("lr", mu, sigma, observed=observed, dims=('obs'))
        elif model_type == 'pooled': 
             lr_likelihood = pm.Normal("lr",  np.repeat(mu_g, len(unique_codes)), sigma, observed=observed, dims='obs')
        elif model_type == 'unpooled':
            lr_likelihood = pm.Normal("lr",  mui.T.ravel(), sigma, observed=observed, dims=('obs'))


        ## Sampling
        idata_sp_insur = pm.sample(2000, return_inferencedata=True, target_accept=.99,
        idata_kwargs={"log_likelihood": True})
        idata_sp_insur = pm.sample_posterior_predictive(
            idata_sp_insur,extend_inferencedata=True)

    return idata_sp_insur, sp_insur


idata_sp_insur_unpooled, sp_insur_unpooled = make_model(loss_df, model_type='unpooled')
idata_sp_insur_pooled, sp_insur_pooled = make_model(loss_df, model_type='pooled')
idata_sp_insur_mixed, sp_insur_mixed = make_model(loss_df, model_type='mixed')

The model structure can be seen more clearly in this graph

pm.model_to_graphviz(sp_insur_mixed)

We can extract the effect of the differences grcodes and examine the baseline and annual spline related coefficients.

summary = az.summary(idata_sp_insur_mixed, var_names=['beta_grcode', 'beta_prem', 'beta_g', 'beta'])

summary

	mean	sd	hdi_3%	hdi_97%	mcse_mean	mcse_sd	ess_bulk	ess_tail	r_hat
beta_grcode	0.332	0.073	0.195	0.463	0.001	0.001	4011.0	4925.0	1.0
beta_prem	-0.055	0.038	-0.126	0.016	0.001	0.000	3909.0	4486.0	1.0
beta_g[0]	0.075	0.087	-0.094	0.236	0.002	0.001	3029.0	4686.0	1.0
beta_g[1]	0.055	0.177	-0.294	0.370	0.002	0.002	7687.0	6162.0	1.0
beta_g[2]	0.434	0.136	0.172	0.686	0.002	0.001	6150.0	5381.0	1.0
...	...	...	...	...	...	...	...	...	...
beta[6, 1990_43]	0.549	0.104	0.358	0.741	0.002	0.001	4028.0	5314.0	1.0
beta[6, 1991_353]	-0.015	0.101	-0.206	0.168	0.002	0.001	3422.0	4702.0	1.0
beta[6, 1991_43]	0.103	0.105	-0.087	0.310	0.002	0.001	3895.0	5159.0	1.0
beta[6, 1992_353]	-0.030	0.101	-0.216	0.158	0.002	0.001	3648.0	4773.0	1.0
beta[6, 1992_43]	-0.071	0.127	-0.310	0.165	0.002	0.001	3750.0	4700.0	1.0

79 rows × 9 columns

Again we can compare the performance metrics of the various models.

compare_df = az.compare({'unpooled': idata_sp_insur_unpooled, 
            'pooled': idata_sp_insur_pooled, 
            'mixed': idata_sp_insur_mixed})

compare_df

	rank	elpd_loo	p_loo	elpd_diff	weight	se	dse	warning	scale
mixed	0	64.875625	33.749150	0.000000	1.000000e+00	2.180200	0.000000	True	log
unpooled	1	41.342083	45.690003	23.533542	7.174095e-12	1.469941	1.377048	True	log
pooled	2	-9.279494	5.983067	74.155119	0.000000e+00	5.415796	4.611111	False	log

Plot the Posterior Predictive Checks

We can check how well the model can recapture the observed data.

def plot_ppc_splines(idata):
    fig, axs = plt.subplots(5, 2, figsize=(9, 30), sharey=True)
    axs = axs.flatten()
    dev_periods = np.arange(1, 7, 1)
    uniques, unique_codes = pd.factorize(loss_df['year_code'])
    for y, c in zip(unique_codes, range(10)):
        az.plot_hdi(dev_periods, idata['posterior_predictive']['lr'].sel(obs=c), color='firebrick', ax=axs[c], fill_kwargs={'alpha': 0.2}, hdi_prob=.89)
        az.plot_hdi(dev_periods, idata['posterior_predictive']['lr'].sel(obs=c), color='firebrick', ax=axs[c], hdi_prob=0.5)
        axs[c].scatter(dev_periods, loss_df[(loss_df['year_code'] == y)]['lr'], color='k', label='Actual Loss Ratio')
        axs[c].plot(dev_periods, loss_df[(loss_df['year_code'] == y)]['lr'], color='k')
        axs[c].set_title(f"Posterior Predictive Loss Ratio \n 89% and 50% HDI: {y}")
        axs[c].legend()
        axs[c].set_xlabel('Default Lag');

plot_ppc_splines(idata_sp_insur_mixed)

Plot the Hierarchical Components

In the following plot we show similarly how to recapture the observed data, but additionally we decompose the structure of the model in each case and extract baseline forecasts which would be our guide to future loss-ratio development curves in lieu of any other information.

mu_g = idata_sp_insur_mixed.posterior.stack(draws=("chain", "draw"))["mu_g"]

mu_i = idata_sp_insur_mixed.posterior.stack(draws=("chain", "draw"))["mui"]

mu  = idata_sp_insur_mixed.posterior.stack(draws=("chain", "draw"))['mu']

beta_grcode = idata_sp_insur_mixed.posterior.stack(draws=("chain", "draw"))['beta_grcode']

dev_periods = np.arange(1, 7, 1)
uniques, unique_codes = pd.factorize(loss_df['year_code'])

mosaic = """
         AB
         CD
         EF
         GH
         IJ
         KK
"""
fig, axs = plt.subplot_mosaic(mosaic, sharey=True, 
figsize=(9, 30))
axs = [axs[k] for k in axs.keys()] 

mu_g_mean = mu_g.mean(dim='draws')
for y, c in zip(unique_codes, range(10)):
    group_effect = 0
    if '43' in y: 
        group_effect = beta_grcode.mean().item()
    mu_i_mean = mu_i.sel(years=y).mean(dim='draws')
    axs[c].plot(dev_periods, group_effect + mu_g_mean.values + mu_i_mean.values, label='Combined + E(grp_effect)', color='purple', linewidth=3.5)
    axs[c].plot(dev_periods, group_effect + mu_g_mean.values, label='E(Hierarchical Baseline)', color='red', linestyle='--')
    axs[c].plot(dev_periods,  group_effect + mu_i_mean.values, label='E(Year Specific Adjustment term)', color='blue', linestyle='--')
    axs[c].scatter(dev_periods, loss_df[(loss_df['year_code'] == y)]['lr'], color='k', label='Actual Loss Ratio')
    axs[c].legend()
    az.plot_hdi(dev_periods,mu.sel(obs=c).T  , ax=axs[c], color='firebrick', fill_kwargs={'alpha': 0.2})
    az.plot_hdi(dev_periods, mu.sel(obs=c).T , ax=axs[c], color='firebrick', fill_kwargs={'alpha': 0.5}, hdi_prob=.50)
    axs[c].set_title(f"Components for Year {y}")

axs[10].plot(dev_periods, mu_g_mean.values, label='E(Hierarchical Baseline)', color='black')
axs[10].plot(dev_periods, mu_g_mean.values + group_effect, label='E(Hierarchical Baseline) + E(grp_effect)', color='black', linestyle='--')
az.plot_hdi(dev_periods, mu_g.T.values, color='slateblue', ax=axs[10], fill_kwargs={'alpha': 0.2})
az.plot_hdi(dev_periods, mu_g.T.values + group_effect, color='magenta', ax=axs[10], fill_kwargs={'alpha': 0.2})
az.plot_hdi(dev_periods, mu_g.T.values, color='slateblue', ax=axs[10], hdi_prob=.5)
az.plot_hdi(dev_periods, mu_g.T.values  + group_effect, color='magenta', ax=axs[10], hdi_prob=.5)
axs[10].set_title("Baseline Forecast Loss Ratio \n with Uncertainty Intervals")
axs[10].legend();

This plot is a bit clunky, because we’re mixing expectations and posterior distributions over the parameters. The point is just to highlight the “compositional” structure of our model. A better way to interrogate the implications of the model is to “push” forward different data through the posterior predictive distribution and derive a kind of ceteris paribus rule for accrual of losses. We d

with sp_insur_mixed: 
    pm.set_data({'grcode': np.ones(len(loss_df)), 
    })
    idata_43 = pm.sample_posterior_predictive(idata_sp_insur_mixed, var_names=['lr'], extend_inferencedata =True)

with sp_insur_mixed: 
    pm.set_data({'grcode': np.zeros(len(loss_df))})
    idata_353 = pm.sample_posterior_predictive(idata_sp_insur_mixed, var_names=['lr'], extend_inferencedata=True)

idata_353

Sampling: [lr]

100.00% [8000/8000 00:00<00:00]

Sampling: [lr]

100.00% [8000/8000 00:00<00:00]

arviz.InferenceData

• posterior

  <xarray.Dataset>
  Dimensions:      (chain: 4, draw: 2000, splines: 7, years: 10, measurement: 6,
                    obs: 60)
  Coordinates:
    * chain        (chain) int64 0 1 2 3
    * draw         (draw) int64 0 1 2 3 4 5 6 ... 1994 1995 1996 1997 1998 1999
    * splines      (splines) int64 0 1 2 3 4 5 6
    * years        (years) <U8 '1988_353' '1988_43' ... '1992_353' '1992_43'
    * measurement  (measurement) int64 0 1 2 3 4 5
    * obs          (obs) int64 0 0 0 0 0 0 1 1 1 1 1 1 ... 8 8 8 8 8 8 9 9 9 9 9 9
  Data variables:
      beta_g       (chain, draw, splines) float64 0.09245 -0.06587 ... 0.4671
      beta         (chain, draw, splines, years) float64 0.06975 ... -0.06849
      beta_prem    (chain, draw) float64 -0.04083 -0.1108 ... 0.02838 -0.09618
      beta_grcode  (chain, draw) float64 0.3686 0.3849 0.3135 ... 0.2748 0.3049
      tau          (chain, draw) float64 0.2592 0.2726 0.28 ... 0.2711 0.2752
      sigma        (chain, draw) float64 0.05167 0.06453 ... 0.0648 0.05801
      mu_g         (chain, draw, measurement) float64 0.09245 0.3975 ... 0.4671
      mui          (chain, draw, measurement, years) float64 0.06975 ... -0.06849
      mu           (chain, draw, obs) float64 0.1764 0.5378 ... 0.9267 0.8547
  Attributes:
      created_at:                 2024-04-06T22:03:49.703712
      arviz_version:              0.17.0
      inference_library:          pymc
      inference_library_version:  5.10.3
      sampling_time:              42.2772331237793
      tuning_steps:               1000

  xarray.Dataset

  • Dimensions:
    • chain: 4
    • draw: 2000
    • splines: 7
    • years: 10
    • measurement: 6
    • obs: 60
  • Coordinates: (6)
    • chain
      (chain)
      int64
      0 1 2 3

      array([0, 1, 2, 3])

    • draw
      (draw)
      int64
      0 1 2 3 4 ... 1996 1997 1998 1999

      array([   0,    1,    2, ..., 1997, 1998, 1999])

    • splines
      (splines)
      int64
      0 1 2 3 4 5 6

      array([0, 1, 2, 3, 4, 5, 6])

    • years
      (years)
      <U8
      '1988_353' '1988_43' ... '1992_43'

      array(['1988_353', '1988_43', '1989_353', '1989_43', '1990_353', '1990_43',
             '1991_353', '1991_43', '1992_353', '1992_43'], dtype='<U8')

    • measurement
      (measurement)
      int64
      0 1 2 3 4 5

      array([0, 1, 2, 3, 4, 5])

    • obs
      (obs)
      int64
      0 0 0 0 0 0 1 1 ... 8 8 9 9 9 9 9 9

      array([0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 2, 2, 2, 2, 2, 2, 3, 3, 3, 3, 3, 3,
             4, 4, 4, 4, 4, 4, 5, 5, 5, 5, 5, 5, 6, 6, 6, 6, 6, 6, 7, 7, 7, 7, 7, 7,
             8, 8, 8, 8, 8, 8, 9, 9, 9, 9, 9, 9])

  • Data variables: (9)
    • beta_g
      (chain, draw, splines)
      float64
      0.09245 -0.06587 ... 0.4733 0.4671

      array([[[ 9.24468078e-02, -6.58740433e-02,  6.82680811e-01, ...,
                8.41343696e-01,  2.22367730e-01,  3.79254895e-01],
              [ 1.45220214e-02, -2.15837506e-01,  4.61942763e-01, ...,
                8.54836354e-01,  2.33004899e-01,  4.76802140e-01],
              [ 2.11264288e-02, -2.46602817e-01,  6.16379572e-01, ...,
                8.43102750e-01,  2.04203812e-01,  5.48687951e-01],
              ...,
              [ 2.14431724e-01,  3.48165725e-02,  4.64840447e-01, ...,
                5.66538634e-01,  5.85740854e-01,  5.70181987e-01],
              [ 1.87863260e-01,  4.59616504e-01,  1.68072798e-01, ...,
                6.24294195e-01,  5.58553288e-01,  5.75860015e-01],
              [ 2.76513586e-02, -1.40534567e-01,  3.58810934e-01, ...,
                5.01167223e-01,  5.04517121e-01,  5.47981665e-01]],
      
             [[ 1.14746104e-04, -1.01558364e-01,  4.02671779e-01, ...,
                8.41519601e-01,  2.57777217e-01,  5.88449995e-01],
              [ 6.56380246e-02, -1.74529560e-01,  6.69159285e-01, ...,
                6.56088325e-01,  4.28083103e-01,  6.01165231e-01],
              [ 1.20690754e-01,  3.66105849e-01,  2.62436719e-01, ...,
                4.77019707e-01,  5.58273468e-01,  6.72884715e-01],
      ...
              [ 3.94464739e-02, -1.70138289e-01,  6.37099143e-01, ...,
                8.82547175e-01,  2.24420712e-01,  6.55537464e-01],
              [ 1.25460124e-01, -1.62496641e-01,  6.77704715e-01, ...,
                9.35346103e-01,  2.11794019e-01,  6.53995661e-01],
              [ 1.64180239e-03,  5.16215843e-01,  1.43087821e-01, ...,
                4.35521928e-01,  5.17840171e-01,  5.24350332e-01]],
      
             [[-6.36838807e-02, -9.68837222e-02,  5.79806553e-01, ...,
                6.67159141e-01,  4.20185411e-01,  5.83866335e-01],
              [ 5.46473179e-02,  1.67203565e-01,  5.22092003e-01, ...,
                6.67573661e-01,  3.06082402e-01,  5.64815765e-01],
              [ 5.20818390e-02,  7.77441840e-02,  4.55932088e-01, ...,
                6.77382147e-01,  4.96044681e-01,  4.84239943e-01],
              ...,
              [ 2.28345745e-01, -8.70891565e-02,  6.95106502e-01, ...,
                7.23488210e-01,  2.09946095e-01,  5.90682646e-01],
              [ 2.46555983e-01,  3.57306937e-02,  3.56002700e-01, ...,
                7.31080063e-01,  4.29857116e-01,  6.01104196e-01],
              [ 3.03562646e-02,  3.98288178e-02,  5.67259879e-01, ...,
                6.91693534e-01,  4.73288451e-01,  4.67144921e-01]]])

    • beta
      (chain, draw, splines, years)
      float64
      0.06975 -0.2814 ... -0.06849

      array([[[[ 6.97465211e-02, -2.81430450e-01,  2.30038195e-01, ...,
                -1.92764412e-01,  1.79923588e-01, -2.46208802e-01],
               [ 1.72191182e-01,  2.65671999e-01,  1.74776294e-01, ...,
                -3.34334735e-01, -5.39536704e-01, -1.50100973e-01],
               [ 6.66283552e-02, -7.46305176e-01,  5.03262795e-02, ...,
                -3.01319360e-02,  2.06092333e-01, -2.59355973e-01],
               ...,
               [-6.16446537e-02, -4.37069707e-01, -1.35004283e-01, ...,
                -4.02979644e-02, -5.44985364e-02, -1.04717376e-01],
               [ 3.44030541e-01,  4.76508142e-02,  2.79853366e-01, ...,
                 6.73655749e-02,  1.98900886e-01, -7.63081701e-02],
               [ 2.46059863e-01, -8.34602501e-02,  2.24157465e-01, ...,
                 2.49034649e-01,  1.96129440e-01,  6.23085038e-02]],
      
              [[ 1.52857893e-01, -3.70103314e-02,  3.00914281e-01, ...,
                -1.46443254e-01,  2.05394934e-01, -3.43586852e-01],
               [ 1.30769913e-01, -4.14624639e-01,  3.84390153e-02, ...,
                 1.12987414e-01,  2.69593973e-01, -2.72211605e-01],
               [ 3.31961119e-01,  2.45145664e-01,  2.61964090e-01, ...,
                -1.56490065e-01, -1.22936910e-01, -2.27836101e-01],
      ...
               [ 9.30206040e-02, -4.30253934e-01,  1.90468954e-02, ...,
                 1.15846114e-01,  7.90612098e-02,  7.30581816e-02],
               [ 2.28854904e-01, -2.02797844e-02,  1.43218944e-01, ...,
                -5.12447556e-02, -3.01305592e-01, -8.62615105e-02],
               [ 1.34932855e-01, -2.52398660e-01,  8.02314467e-02, ...,
                 2.15060386e-01, -6.13436276e-02, -6.83909199e-03]],
      
              [[ 1.88537657e-01, -4.94434722e-02,  1.08433586e-01, ...,
                -1.22370418e-01,  1.17467248e-01, -2.39273163e-01],
               [ 1.31945357e-01, -9.21250290e-04,  2.78925591e-01, ...,
                 5.83440422e-04, -1.40869076e-02, -9.22166177e-02],
               [-2.74295655e-02, -2.78519244e-01, -1.33965697e-01, ...,
                -7.69188687e-02, -1.10327175e-01, -3.65534204e-01],
               ...,
               [ 1.60769434e-01,  1.11437608e-02,  1.41331750e-01, ...,
                -1.41529293e-01, -2.85520664e-01, -1.37158871e-01],
               [ 2.14823814e-01, -2.66760693e-01,  4.14166699e-02, ...,
                 2.05290911e-01,  2.63526366e-01, -1.31663431e-01],
               [ 1.28004658e-01,  1.08476024e-01,  1.07159020e-01, ...,
                 2.37305448e-01,  7.94238285e-02, -6.84931791e-02]]]])

    • beta_prem
      (chain, draw)
      float64
      -0.04083 -0.1108 ... -0.09618

      array([[-0.04083348, -0.11080857, -0.05439616, ..., -0.06294943,
              -0.04392053, -0.06257746],
             [-0.13700543, -0.08681501, -0.02787445, ..., -0.08481283,
              -0.10349497, -0.09291024],
             [-0.06457037, -0.05509156, -0.09213841, ..., -0.02441707,
              -0.03130423, -0.08322996],
             [-0.05537632, -0.02607294, -0.09178471, ..., -0.06807244,
               0.02838375, -0.09618354]])

    • beta_grcode
      (chain, draw)
      float64
      0.3686 0.3849 ... 0.2748 0.3049

      array([[0.36856823, 0.38488481, 0.31348783, ..., 0.27432848, 0.30613305,
              0.35631256],
             [0.38617248, 0.32345417, 0.28456876, ..., 0.32489774, 0.39190567,
              0.39102283],
             [0.33275512, 0.29652561, 0.25835689, ..., 0.2381977 , 0.1700487 ,
              0.40723354],
             [0.24662028, 0.26740768, 0.39124804, ..., 0.32897749, 0.27477063,
              0.3048552 ]])

    • tau
      (chain, draw)
      float64
      0.2592 0.2726 ... 0.2711 0.2752

      array([[0.25916284, 0.27258404, 0.27996232, ..., 0.23259952, 0.25992421,
              0.25845663],
             [0.29316089, 0.2645057 , 0.28268196, ..., 0.25696587, 0.24995477,
              0.27090522],
             [0.25336416, 0.26632541, 0.21859287, ..., 0.28226641, 0.27081568,
              0.32186085],
             [0.2293221 , 0.25641421, 0.23784225, ..., 0.27807465, 0.2710909 ,
              0.27522999]])

    • sigma
      (chain, draw)
      float64
      0.05167 0.06453 ... 0.0648 0.05801

      array([[0.05167355, 0.06452631, 0.06055856, ..., 0.05329488, 0.05304934,
              0.05380388],
             [0.05964742, 0.05923194, 0.07223741, ..., 0.05107197, 0.05160328,
              0.05263679],
             [0.05426029, 0.05706019, 0.05221756, ..., 0.05021641, 0.05722836,
              0.05648747],
             [0.05656862, 0.05054317, 0.05074454, ..., 0.05271987, 0.06480163,
              0.05801449]])

    • mu_g
      (chain, draw, measurement)
      float64
      0.09245 0.3975 ... 0.5884 0.4671

      array([[[ 9.24468078e-02,  3.97492285e-01,  4.60884619e-01,
                5.17297545e-01,  5.76673309e-01,  3.79254895e-01],
              [ 1.45220214e-02,  2.42129863e-01,  4.38460276e-01,
                5.75126716e-01,  6.04083907e-01,  4.76802140e-01],
              [ 2.11264288e-02,  3.17436551e-01,  4.87583357e-01,
                5.68640067e-01,  5.85489021e-01,  5.48687951e-01],
              ...,
              [ 2.14431724e-01,  3.25731713e-01,  4.40702335e-01,
                4.81046139e-01,  5.53570981e-01,  5.70181987e-01],
              [ 1.87863260e-01,  2.99482243e-01,  3.76350627e-01,
                5.30219656e-01,  5.89482434e-01,  5.75860015e-01],
              [ 2.76513586e-02,  2.23742191e-01,  4.42271731e-01,
                4.97303200e-01,  5.03750355e-01,  5.47981665e-01]],
      
             [[ 1.14746104e-04,  2.66428293e-01,  5.08963326e-01,
                6.59991843e-01,  6.26899075e-01,  5.88449995e-01],
              [ 6.56380246e-02,  3.58662082e-01,  4.50597724e-01,
                4.53108700e-01,  5.37177161e-01,  6.01165231e-01],
              [ 1.20690754e-01,  3.29043586e-01,  4.22720415e-01,
                4.96756837e-01,  5.10382843e-01,  6.72884715e-01],
      ...
              [ 3.94464739e-02,  3.67862170e-01,  5.62146089e-01,
                6.48828861e-01,  6.29207795e-01,  6.55537464e-01],
              [ 1.25460124e-01,  3.88758733e-01,  5.63715536e-01,
                6.54248882e-01,  6.50784970e-01,  6.53995661e-01],
              [ 1.64180239e-03,  3.03918039e-01,  3.58022428e-01,
                4.55944982e-01,  4.70738087e-01,  5.24350332e-01]],
      
             [[-6.36838807e-02,  3.59522001e-01,  5.30822057e-01,
                5.65976184e-01,  5.68755629e-01,  5.83866335e-01],
              [ 5.46473179e-02,  3.99934019e-01,  4.76141417e-01,
                5.26434396e-01,  5.25529224e-01,  5.64815765e-01],
              [ 5.20818390e-02,  3.33862683e-01,  4.45402970e-01,
                5.24322794e-01,  5.88885659e-01,  4.84239943e-01],
              ...,
              [ 2.28345745e-01,  4.25745544e-01,  5.72140533e-01,
                5.85037132e-01,  5.33543934e-01,  5.90682646e-01],
              [ 2.46555983e-01,  2.78668432e-01,  4.68664302e-01,
                5.98740723e-01,  6.13605896e-01,  6.01104196e-01],
              [ 3.03562646e-02,  3.83840090e-01,  4.84557306e-01,
                5.31170263e-01,  5.88363682e-01,  4.67144921e-01]]])

    • mui
      (chain, draw, measurement, years)
      float64
      0.06975 -0.2814 ... -0.06849

      array([[[[ 6.97465211e-02, -2.81430450e-01,  2.30038195e-01, ...,
                -1.92764412e-01,  1.79923588e-01, -2.46208802e-01],
               [ 1.26162709e-01, -3.46761866e-01,  1.09775660e-01, ...,
                -9.92277808e-02, -5.43408468e-02, -2.05585948e-01],
               [ 1.70315292e-01, -3.50439422e-01,  1.25573216e-01, ...,
                 6.83666416e-02,  5.28147849e-02, -1.63728206e-01],
               [ 1.29334661e-01, -2.49402176e-01,  6.47272934e-02, ...,
                 6.95540185e-02, -2.59891238e-02, -1.11113417e-01],
               [ 1.06233499e-01, -2.38162549e-01,  3.67946320e-02, ...,
                 1.89436358e-02,  2.53115752e-02, -9.48665199e-02],
               [ 2.46059863e-01, -8.34602501e-02,  2.24157465e-01, ...,
                 2.49034649e-01,  1.96129440e-01,  6.23085038e-02]],
      
              [[ 1.52857893e-01, -3.70103314e-02,  3.00914281e-01, ...,
                -1.46443254e-01,  2.05394934e-01, -3.43586852e-01],
               [ 2.21124390e-01, -3.60021641e-02,  1.66915484e-01, ...,
                -3.60105089e-02,  3.09623640e-03, -2.35883688e-01],
               [ 1.02617654e-01, -1.07483469e-01,  1.25458090e-01, ...,
                 3.16094362e-03, -8.62709686e-02, -2.23131152e-01],
               [-1.24345545e-02, -2.15578981e-01,  6.99662334e-03, ...,
      ...
                 1.30419654e-01,  1.49667407e-01,  3.74967014e-02],
               [ 7.70858319e-02, -3.87114021e-01,  7.03765601e-02, ...,
                 4.60164035e-02,  7.46573969e-02,  4.53189680e-02],
               [ 1.27836441e-01, -2.97637347e-01,  6.48359474e-02, ...,
                 4.34903313e-02, -4.21579253e-02,  1.82010559e-02],
               [ 1.34932855e-01, -2.52398660e-01,  8.02314467e-02, ...,
                 2.15060386e-01, -6.13436276e-02, -6.83909199e-03]],
      
              [[ 1.88537657e-01, -4.94434722e-02,  1.08433586e-01, ...,
                -1.22370418e-01,  1.17467248e-01, -2.39273163e-01],
               [ 3.14061893e-02, -1.61543614e-01,  2.34122314e-02, ...,
                -1.90374715e-02, -6.86244892e-02, -2.35368999e-01],
               [ 2.80852043e-02, -1.24486963e-01,  1.49925613e-02, ...,
                 6.01129635e-02, -7.21575148e-02, -1.55833109e-01],
               [ 9.20395138e-02, -3.05488746e-02,  1.04444983e-01, ...,
                 4.08215590e-02, -1.27637805e-01, -7.98261714e-02],
               [ 1.64016317e-01, -7.88312797e-02,  1.06696295e-01, ...,
                 7.38290511e-03, -8.26004210e-02, -1.17655087e-01],
               [ 1.28004658e-01,  1.08476024e-01,  1.07159020e-01, ...,
                 2.37305448e-01,  7.94238285e-02, -6.84931791e-02]]]])

    • mu
      (chain, draw, obs)
      float64
      0.1764 0.5378 ... 0.9267 0.8547

      array([[[0.17638106, 0.53784273, 0.64538765, ..., 0.83892246,
               0.91454513, 0.87430174],
              [0.20588074, 0.50175507, 0.57957875, ..., 0.83021839,
               0.87030571, 0.83403971],
              [0.21351964, 0.44944094, 0.59258106, ..., 0.83194163,
               0.90752975, 0.94141614],
              ...,
              [0.19465374, 0.52201591, 0.64253764, ..., 0.76493001,
               0.93530074, 0.97506027],
              [0.31930324, 0.50150412, 0.58666224, ..., 0.96261822,
               0.87913391, 0.94082848],
              [0.17494151, 0.44100936, 0.59579821, ..., 0.8219774 ,
               0.90268381, 0.89036079]],
      
             [[0.2422936 , 0.5528418 , 0.67626291, ..., 0.9298497 ,
               0.88520697, 0.91825682],
              [0.32986828, 0.51841443, 0.63658929, ..., 0.91463315,
               0.89261841, 0.91715329],
              [0.30970622, 0.50152121, 0.57387953, ..., 0.79492638,
               0.94636431, 1.02617711],
      ...
              [0.22762303, 0.5614383 , 0.57659019, ..., 0.88184864,
               0.86568794, 0.94168828],
              [0.26352579, 0.44677364, 0.66969591, ..., 0.85592201,
               0.91961585, 0.89429929],
              [0.17612147, 0.50790257, 0.66575228, ..., 0.90503326,
               0.96994638, 0.90582114]],
      
             [[0.19216527, 0.55035048, 0.6543238 , ..., 0.86670235,
               0.91701904, 0.88674519],
              [0.23836273, 0.54543095, 0.66310546, ..., 0.89937429,
               0.93060342, 0.80328408],
              [0.23876017, 0.59112583, 0.71840862, ..., 0.83937134,
               0.91074754, 0.91762742],
              ...,
              [0.22319806, 0.58234582, 0.62193972, ..., 0.83094423,
               0.91717855, 1.04990016],
              [0.10291449, 0.38824437, 0.58724086, ..., 0.87422505,
               0.86197231, 0.82443046],
              [0.25231323, 0.44866558, 0.54606181, ..., 0.90735241,
               0.92671692, 0.85466006]]])

  • Indexes: (6)
    • chain
      PandasIndex

      PandasIndex(Index([0, 1, 2, 3], dtype='int64', name='chain'))

    • draw
      PandasIndex

      PandasIndex(Index([   0,    1,    2,    3,    4,    5,    6,    7,    8,    9,
             ...
             1990, 1991, 1992, 1993, 1994, 1995, 1996, 1997, 1998, 1999],
            dtype='int64', name='draw', length=2000))

    • splines
      PandasIndex

      PandasIndex(Index([0, 1, 2, 3, 4, 5, 6], dtype='int64', name='splines'))

    • years
      PandasIndex

      PandasIndex(Index(['1988_353', '1988_43', '1989_353', '1989_43', '1990_353', '1990_43',
             '1991_353', '1991_43', '1992_353', '1992_43'],
            dtype='object', name='years'))

    • measurement
      PandasIndex

      PandasIndex(Index([0, 1, 2, 3, 4, 5], dtype='int64', name='measurement'))

    • obs
      PandasIndex

      PandasIndex(Index([0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 2, 2, 2, 2, 2, 2, 3, 3, 3, 3, 3, 3,
             4, 4, 4, 4, 4, 4, 5, 5, 5, 5, 5, 5, 6, 6, 6, 6, 6, 6, 7, 7, 7, 7, 7, 7,
             8, 8, 8, 8, 8, 8, 9, 9, 9, 9, 9, 9],
            dtype='int64', name='obs'))

  • Attributes: (6)

    created_at :

    2024-04-06T22:03:49.703712

    arviz_version :

    0.17.0

    inference_library :

    pymc

    inference_library_version :

    5.10.3

    sampling_time :

    42.2772331237793

    tuning_steps :

    1000

  
  
• posterior_predictive

  <xarray.Dataset>
  Dimensions:  (chain: 4, draw: 2000, obs: 60)
  Coordinates:
    * chain    (chain) int64 0 1 2 3
    * draw     (draw) int64 0 1 2 3 4 5 6 7 ... 1993 1994 1995 1996 1997 1998 1999
    * obs      (obs) int64 0 0 0 0 0 0 1 1 1 1 1 1 2 ... 7 8 8 8 8 8 8 9 9 9 9 9 9
  Data variables:
      lr       (chain, draw, obs) float64 0.1192 0.421 0.6624 ... 0.9543 0.8841
  Attributes:
      created_at:                 2024-04-06T22:03:51.789957
      arviz_version:              0.17.0
      inference_library:          pymc
      inference_library_version:  5.10.3

  xarray.Dataset

  • Dimensions:
    • chain: 4
    • draw: 2000
    • obs: 60
  • Coordinates: (3)
    • chain
      (chain)
      int64
      0 1 2 3

      array([0, 1, 2, 3])

    • draw
      (draw)
      int64
      0 1 2 3 4 ... 1996 1997 1998 1999

      array([   0,    1,    2, ..., 1997, 1998, 1999])

    • obs
      (obs)
      int64
      0 0 0 0 0 0 1 1 ... 8 8 9 9 9 9 9 9

      array([0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 2, 2, 2, 2, 2, 2, 3, 3, 3, 3, 3, 3,
             4, 4, 4, 4, 4, 4, 5, 5, 5, 5, 5, 5, 6, 6, 6, 6, 6, 6, 7, 7, 7, 7, 7, 7,
             8, 8, 8, 8, 8, 8, 9, 9, 9, 9, 9, 9])

  • Data variables: (1)
    • lr
      (chain, draw, obs)
      float64
      0.1192 0.421 ... 0.9543 0.8841

      array([[[0.11919827, 0.42102086, 0.6624153 , ..., 0.84704157,
               0.89844234, 0.88565554],
              [0.18303083, 0.48461789, 0.65641319, ..., 0.87322874,
               0.85301719, 0.9280202 ],
              [0.21711642, 0.43653019, 0.50580325, ..., 0.92563512,
               0.8936571 , 1.02362564],
              ...,
              [0.27248531, 0.43738698, 0.60506141, ..., 0.80081422,
               0.89602709, 1.00554346],
              [0.36968716, 0.48274925, 0.57377142, ..., 0.96161025,
               0.94377123, 0.87785204],
              [0.15192213, 0.41038318, 0.59391026, ..., 0.78773865,
               1.02094944, 0.8738345 ]],
      
             [[0.3126385 , 0.46651402, 0.69612601, ..., 0.9503552 ,
               0.80133265, 0.86718347],
              [0.37006123, 0.43913894, 0.60780599, ..., 0.83725794,
               0.90302858, 0.82708861],
              [0.30441308, 0.63882512, 0.55578424, ..., 0.87728751,
               0.98177005, 0.91447787],
      ...
              [0.22294007, 0.52113932, 0.53043349, ..., 0.89694662,
               0.92417246, 0.89966717],
              [0.30639508, 0.53372398, 0.66213291, ..., 0.87430435,
               0.96201615, 0.8652272 ],
              [0.24169556, 0.53521896, 0.6032103 , ..., 0.89475341,
               0.9627382 , 0.90974293]],
      
             [[0.26436664, 0.52830531, 0.6090163 , ..., 0.8304517 ,
               0.96333093, 0.94351523],
              [0.22567261, 0.57612145, 0.66443835, ..., 0.87849618,
               0.99047116, 0.78533281],
              [0.24530381, 0.62237457, 0.67177232, ..., 0.792547  ,
               0.82756632, 0.9301988 ],
              ...,
              [0.20172499, 0.64944991, 0.73064397, ..., 0.84515351,
               0.95445687, 1.01428802],
              [0.2067235 , 0.33742782, 0.59394659, ..., 1.00692204,
               0.91097705, 0.8778524 ],
              [0.26022236, 0.4515659 , 0.48836447, ..., 0.94097332,
               0.95427205, 0.88405818]]])

  • Indexes: (3)
    • chain
      PandasIndex

      PandasIndex(Index([0, 1, 2, 3], dtype='int64', name='chain'))

    • draw
      PandasIndex

      PandasIndex(Index([   0,    1,    2,    3,    4,    5,    6,    7,    8,    9,
             ...
             1990, 1991, 1992, 1993, 1994, 1995, 1996, 1997, 1998, 1999],
            dtype='int64', name='draw', length=2000))

    • obs
      PandasIndex

      PandasIndex(Index([0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 2, 2, 2, 2, 2, 2, 3, 3, 3, 3, 3, 3,
             4, 4, 4, 4, 4, 4, 5, 5, 5, 5, 5, 5, 6, 6, 6, 6, 6, 6, 7, 7, 7, 7, 7, 7,
             8, 8, 8, 8, 8, 8, 9, 9, 9, 9, 9, 9],
            dtype='int64', name='obs'))

  • Attributes: (4)

    created_at :

    2024-04-06T22:03:51.789957

    arviz_version :

    0.17.0

    inference_library :

    pymc

    inference_library_version :

    5.10.3

  
  
• log_likelihood

  <xarray.Dataset>
  Dimensions:  (chain: 4, draw: 2000, obs: 60)
  Coordinates:
    * chain    (chain) int64 0 1 2 3
    * draw     (draw) int64 0 1 2 3 4 5 6 7 ... 1993 1994 1995 1996 1997 1998 1999
    * obs      (obs) int64 0 0 0 0 0 0 1 1 1 1 1 1 2 ... 7 8 8 8 8 8 8 9 9 9 9 9 9
  Data variables:
      lr       (chain, draw, obs) float64 1.488 1.916 1.887 ... 1.581 1.85 1.205
  Attributes:
      created_at:                 2024-04-06T22:03:49.970357
      arviz_version:              0.17.0
      inference_library:          pymc
      inference_library_version:  5.10.3

  xarray.Dataset

  • Dimensions:
    • chain: 4
    • draw: 2000
    • obs: 60
  • Coordinates: (3)
    • chain
      (chain)
      int64
      0 1 2 3

      array([0, 1, 2, 3])

    • draw
      (draw)
      int64
      0 1 2 3 4 ... 1996 1997 1998 1999

      array([   0,    1,    2, ..., 1997, 1998, 1999])

    • obs
      (obs)
      int64
      0 0 0 0 0 0 1 1 ... 8 8 9 9 9 9 9 9

      array([0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 2, 2, 2, 2, 2, 2, 3, 3, 3, 3, 3, 3,
             4, 4, 4, 4, 4, 4, 5, 5, 5, 5, 5, 5, 6, 6, 6, 6, 6, 6, 7, 7, 7, 7, 7, 7,
             8, 8, 8, 8, 8, 8, 9, 9, 9, 9, 9, 9])

  • Data variables: (1)
    • lr
      (chain, draw, obs)
      float64
      1.488 1.916 1.887 ... 1.85 1.205

      array([[[ 1.48761989e+00,  1.91621648e+00,  1.88652035e+00, ...,
                1.96836601e+00,  2.02205875e+00,  1.57313674e+00],
              [ 1.74667058e+00,  1.80978768e+00,  1.65893150e+00, ...,
                1.72224670e+00,  1.68740431e+00,  8.40362042e-01],
              [ 1.84409777e+00,  1.35616946e+00,  1.80785715e+00, ...,
                1.78536451e+00,  1.88326065e+00,  1.84591554e+00],
              ...,
              [ 1.78190941e+00,  1.99436321e+00,  1.89271102e+00, ...,
                4.55122573e-01,  1.83776954e+00,  1.56190601e+00],
              [ 6.28585003e-01,  1.99900461e+00,  1.86047909e+00, ...,
                1.10117770e-01,  1.90991466e+00,  1.96987697e+00],
              [ 1.46293614e+00,  1.13955193e+00,  1.93016498e+00, ...,
                1.76669313e+00,  2.00327400e+00,  1.80287303e+00]],
      
             [[ 1.88207056e+00,  1.66287095e+00,  1.39674197e+00, ...,
                1.19497661e+00,  1.85203083e+00,  1.89499259e+00],
              [ 5.11013341e-01,  1.90099388e+00,  1.84926434e+00, ...,
                1.46631137e+00,  1.88968880e+00,  1.89978838e+00],
              [ 1.11354656e+00,  1.69886656e+00,  1.53562345e+00, ...,
                1.31545207e+00,  1.53487557e+00,  7.17107503e-01],
      ...
              [ 2.07036667e+00,  1.58260310e+00,  1.75824112e+00, ...,
                1.96898590e+00,  1.78518613e+00,  2.01348741e+00],
              [ 1.77910006e+00,  1.29755036e+00,  1.50811683e+00, ...,
                1.94031817e+00,  1.90334856e+00,  1.80307238e+00],
              [ 1.48487107e+00,  1.95249874e+00,  1.57313045e+00, ...,
                1.62278335e+00,  1.26820017e+00,  1.90047527e+00]],
      
             [[ 1.71912421e+00,  1.72034687e+00,  1.72863862e+00, ...,
                1.94409927e+00,  1.92586192e+00,  1.73134516e+00],
              [ 2.05504139e+00,  1.84373501e+00,  1.63903052e+00, ...,
                1.74698552e+00,  1.92487646e+00, -8.07012373e-01],
              [ 2.04996683e+00,  8.38093084e-01,  4.14727422e-02, ...,
                1.98717946e+00,  2.05251147e+00,  2.05300032e+00],
              ...,
              [ 2.01319773e+00,  1.12683492e+00,  2.01830311e+00, ...,
                1.88219573e+00,  1.99139620e+00, -8.07774320e-01],
              [-1.32404105e-01,  1.74978425e-03,  1.71624903e+00, ...,
                1.78989563e+00,  1.60964205e+00,  6.26565523e-01],
              [ 1.85990320e+00,  1.33723155e+00,  1.19314320e+00, ...,
                1.58084076e+00,  1.84977908e+00,  1.20475356e+00]]])

  • Indexes: (3)
    • chain
      PandasIndex

      PandasIndex(Index([0, 1, 2, 3], dtype='int64', name='chain'))

    • draw
      PandasIndex

      PandasIndex(Index([   0,    1,    2,    3,    4,    5,    6,    7,    8,    9,
             ...
             1990, 1991, 1992, 1993, 1994, 1995, 1996, 1997, 1998, 1999],
            dtype='int64', name='draw', length=2000))

    • obs
      PandasIndex

      PandasIndex(Index([0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 2, 2, 2, 2, 2, 2, 3, 3, 3, 3, 3, 3,
             4, 4, 4, 4, 4, 4, 5, 5, 5, 5, 5, 5, 6, 6, 6, 6, 6, 6, 7, 7, 7, 7, 7, 7,
             8, 8, 8, 8, 8, 8, 9, 9, 9, 9, 9, 9],
            dtype='int64', name='obs'))

  • Attributes: (4)

    created_at :

    2024-04-06T22:03:49.970357

    arviz_version :

    0.17.0

    inference_library :

    pymc

    inference_library_version :

    5.10.3

  
  
• sample_stats

  <xarray.Dataset>
  Dimensions:                (chain: 4, draw: 2000)
  Coordinates:
    * chain                  (chain) int64 0 1 2 3
    * draw                   (draw) int64 0 1 2 3 4 5 ... 1995 1996 1997 1998 1999
  Data variables: (12/17)
      index_in_trajectory    (chain, draw) int64 16 85 59 64 ... -77 143 102 142
      energy                 (chain, draw) float64 -43.01 -28.79 ... -31.02 -38.76
      smallest_eigval        (chain, draw) float64 nan nan nan nan ... nan nan nan
      n_steps                (chain, draw) float64 127.0 127.0 ... 255.0 255.0
      largest_eigval         (chain, draw) float64 nan nan nan nan ... nan nan nan
      step_size_bar          (chain, draw) float64 0.03773 0.03773 ... 0.03628
      ...                     ...
      perf_counter_diff      (chain, draw) float64 0.009788 0.01019 ... 0.01847
      reached_max_treedepth  (chain, draw) bool False False False ... False False
      lp                     (chain, draw) float64 80.47 71.15 ... 73.09 77.75
      process_time_diff      (chain, draw) float64 0.009787 0.01013 ... 0.01846
      diverging              (chain, draw) bool False False False ... False False
      tree_depth             (chain, draw) int64 7 7 8 8 7 7 7 8 ... 7 9 7 7 8 8 8
  Attributes:
      created_at:                 2024-04-06T22:03:49.717087
      arviz_version:              0.17.0
      inference_library:          pymc
      inference_library_version:  5.10.3
      sampling_time:              42.2772331237793
      tuning_steps:               1000

  xarray.Dataset

  • Dimensions:
    • chain: 4
    • draw: 2000
  • Coordinates: (2)
    • chain
      (chain)
      int64
      0 1 2 3

      array([0, 1, 2, 3])

    • draw
      (draw)
      int64
      0 1 2 3 4 ... 1996 1997 1998 1999

      array([   0,    1,    2, ..., 1997, 1998, 1999])

  • Data variables: (17)
    • index_in_trajectory
      (chain, draw)
      int64
      16 85 59 64 -92 ... -77 143 102 142

      array([[  16,   85,   59, ...,   56,  -57,  -46],
             [ -42,   66,  -92, ...,  -64, -113,  -44],
             [  49,  -95,   61, ...,  -52,  -49, -118],
             [ 141,   52,  -53, ...,  143,  102,  142]])

    • energy
      (chain, draw)
      float64
      -43.01 -28.79 ... -31.02 -38.76

      array([[-43.0104702 , -28.79080196, -23.95818216, ..., -56.29240218,
              -53.39126448, -45.01239732],
             [-33.34757098, -23.0012059 , -23.56631485, ..., -40.35072514,
              -45.81824795, -47.42774812],
             [-39.20125513, -41.78576959, -46.61651125, ..., -47.82494372,
              -41.49130684, -26.3373304 ],
             [-34.22982295, -40.34325735, -35.4721127 , ..., -37.44482665,
              -31.0193572 , -38.76139943]])

    • smallest_eigval
      (chain, draw)
      float64
      nan nan nan nan ... nan nan nan nan

      array([[nan, nan, nan, ..., nan, nan, nan],
             [nan, nan, nan, ..., nan, nan, nan],
             [nan, nan, nan, ..., nan, nan, nan],
             [nan, nan, nan, ..., nan, nan, nan]])

    • n_steps
      (chain, draw)
      float64
      127.0 127.0 255.0 ... 255.0 255.0

      array([[127., 127., 255., ..., 127., 127., 127.],
             [127., 127., 127., ..., 127., 127., 127.],
             [127., 127., 255., ..., 127., 127., 127.],
             [255., 127., 127., ..., 255., 255., 255.]])

    • largest_eigval
      (chain, draw)
      float64
      nan nan nan nan ... nan nan nan nan

      array([[nan, nan, nan, ..., nan, nan, nan],
             [nan, nan, nan, ..., nan, nan, nan],
             [nan, nan, nan, ..., nan, nan, nan],
             [nan, nan, nan, ..., nan, nan, nan]])

    • step_size_bar
      (chain, draw)
      float64
      0.03773 0.03773 ... 0.03628 0.03628

      array([[0.03773304, 0.03773304, 0.03773304, ..., 0.03773304, 0.03773304,
              0.03773304],
             [0.03832158, 0.03832158, 0.03832158, ..., 0.03832158, 0.03832158,
              0.03832158],
             [0.04053541, 0.04053541, 0.04053541, ..., 0.04053541, 0.04053541,
              0.04053541],
             [0.036281  , 0.036281  , 0.036281  , ..., 0.036281  , 0.036281  ,
              0.036281  ]])

    • step_size
      (chain, draw)
      float64
      0.03655 0.03655 ... 0.03579 0.03579

      array([[0.03655258, 0.03655258, 0.03655258, ..., 0.03655258, 0.03655258,
              0.03655258],
             [0.03630771, 0.03630771, 0.03630771, ..., 0.03630771, 0.03630771,
              0.03630771],
             [0.04067362, 0.04067362, 0.04067362, ..., 0.04067362, 0.04067362,
              0.04067362],
             [0.03579052, 0.03579052, 0.03579052, ..., 0.03579052, 0.03579052,
              0.03579052]])

    • perf_counter_start
      (chain, draw)
      float64
      1.535e+06 1.535e+06 ... 1.535e+06

      array([[1534881.11210117, 1534881.12202308, 1534881.13238412, ...,
              1534905.44956571, 1534905.45939662, 1534905.46947117],
             [1534880.69457904, 1534880.70441308, 1534880.71422175, ...,
              1534902.75860608, 1534902.76807837, 1534902.77753008],
             [1534880.38993967, 1534880.39974688, 1534880.40956242, ...,
              1534901.648701  , 1534901.65840329, 1534901.66813854],
             [1534881.21346338, 1534881.23317467, 1534881.24280067, ...,
              1534909.61456987, 1534909.63298637, 1534909.65145575]])

    • acceptance_rate
      (chain, draw)
      float64
      0.9863 0.9794 ... 0.9876 0.9973

      array([[0.98632704, 0.97939577, 0.98122077, ..., 0.99440695, 0.96094351,
              0.99859177],
             [0.97924901, 0.99136816, 0.97803377, ..., 0.99673821, 0.98986812,
              0.9990407 ],
             [0.88952661, 0.999531  , 0.99751291, ..., 0.97059793, 0.98623548,
              0.98353   ],
             [0.99341367, 0.99067951, 0.99026223, ..., 0.97205303, 0.98761762,
              0.99725177]])

    • energy_error
      (chain, draw)
      float64
      0.01348 0.02742 ... 0.005089

      array([[ 0.01347805,  0.02742433,  0.04112174, ..., -0.03656639,
               0.0478617 , -0.0114432 ],
             [ 0.03794045, -0.04057596,  0.0364111 , ..., -0.02767041,
               0.0256931 , -0.00553355],
             [ 0.1681401 , -0.08161203, -0.03754766, ..., -0.01960166,
               0.01191097,  0.02710987],
             [-0.00135771,  0.0106456 ,  0.0357289 , ...,  0.03176329,
               0.00920528,  0.00508862]])

    • max_energy_error
      (chain, draw)
      float64
      0.03676 0.0516 ... 0.03801 -0.04045

      array([[ 0.03675666,  0.05159627,  0.06215306, ..., -0.05429031,
               0.09648033, -0.05251332],
             [ 0.07876815, -0.08887454,  0.06816163, ..., -0.10536481,
              -0.07522957, -0.10429307],
             [ 0.20443025, -0.12504416, -0.05711711, ...,  0.0833601 ,
               0.03301005,  0.0382552 ],
             [ 0.02714124, -0.03286057,  0.04003074, ...,  0.04525893,
               0.03801153, -0.04044534]])

    • perf_counter_diff
      (chain, draw)
      float64
      0.009788 0.01019 ... 0.01847

      array([[0.00978771, 0.0101905 , 0.0206465 , ..., 0.00976308, 0.00998088,
              0.00987475],
             [0.00975646, 0.00974088, 0.00972988, ..., 0.00940267, 0.00938583,
              0.0094245 ],
             [0.00972067, 0.0097375 , 0.01962096, ..., 0.00963796, 0.00965712,
              0.00965254],
             [0.01960367, 0.00955783, 0.00949838, ..., 0.01835475, 0.01840625,
              0.01846642]])

    • reached_max_treedepth
      (chain, draw)
      bool
      False False False ... False False

      array([[False, False, False, ..., False, False, False],
             [False, False, False, ..., False, False, False],
             [False, False, False, ..., False, False, False],
             [False, False, False, ..., False, False, False]])

    • lp
      (chain, draw)
      float64
      80.47 71.15 67.93 ... 73.09 77.75

      array([[80.46806041, 71.15000686, 67.93441577, ..., 89.21546195,
              86.10416792, 79.35052619],
             [68.04207418, 70.04646763, 60.61128958, ..., 78.00333533,
              79.34373904, 79.4885579 ],
             [80.739131  , 82.74956542, 86.96672427, ..., 84.75579849,
              75.97550243, 63.59468082],
             [78.32807967, 77.90653397, 75.95348615, ..., 74.85230337,
              73.09458695, 77.75479112]])

    • process_time_diff
      (chain, draw)
      float64
      0.009787 0.01013 ... 0.01846

      array([[0.009787, 0.010126, 0.020346, ..., 0.009764, 0.009979, 0.009874],
             [0.009756, 0.00974 , 0.00973 , ..., 0.009398, 0.009386, 0.009425],
             [0.00972 , 0.009738, 0.019618, ..., 0.009639, 0.009656, 0.00964 ],
             [0.019604, 0.009558, 0.009499, ..., 0.018355, 0.018407, 0.018465]])

    • diverging
      (chain, draw)
      bool
      False False False ... False False

      array([[False, False, False, ..., False, False, False],
             [False, False, False, ..., False, False, False],
             [False, False, False, ..., False, False, False],
             [False, False, False, ..., False, False, False]])

    • tree_depth
      (chain, draw)
      int64
      7 7 8 8 7 7 7 8 ... 9 7 9 7 7 8 8 8

      array([[7, 7, 8, ..., 7, 7, 7],
             [7, 7, 7, ..., 7, 7, 7],
             [7, 7, 8, ..., 7, 7, 7],
             [8, 7, 7, ..., 8, 8, 8]])

  • Indexes: (2)
    • chain
      PandasIndex

      PandasIndex(Index([0, 1, 2, 3], dtype='int64', name='chain'))

    • draw
      PandasIndex

      PandasIndex(Index([   0,    1,    2,    3,    4,    5,    6,    7,    8,    9,
             ...
             1990, 1991, 1992, 1993, 1994, 1995, 1996, 1997, 1998, 1999],
            dtype='int64', name='draw', length=2000))

  • Attributes: (6)

    created_at :

    2024-04-06T22:03:49.717087

    arviz_version :

    0.17.0

    inference_library :

    pymc

    inference_library_version :

    5.10.3

    sampling_time :

    42.2772331237793

    tuning_steps :

    1000

  
  
• observed_data

  <xarray.Dataset>
  Dimensions:  (obs: 60)
  Coordinates:
    * obs      (obs) int64 0 0 0 0 0 0 1 1 1 1 1 1 2 ... 7 8 8 8 8 8 8 9 9 9 9 9 9
  Data variables:
      lr       (obs) float64 0.2309 0.5117 0.6164 0.6386 ... 0.859 0.9038 0.9244
  Attributes:
      created_at:                 2024-04-06T22:03:49.719921
      arviz_version:              0.17.0
      inference_library:          pymc
      inference_library_version:  5.10.3

  xarray.Dataset

  • Dimensions:
    • obs: 60
  • Coordinates: (1)
    • obs
      (obs)
      int64
      0 0 0 0 0 0 1 1 ... 8 8 9 9 9 9 9 9

      array([0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 2, 2, 2, 2, 2, 2, 3, 3, 3, 3, 3, 3,
             4, 4, 4, 4, 4, 4, 5, 5, 5, 5, 5, 5, 6, 6, 6, 6, 6, 6, 7, 7, 7, 7, 7, 7,
             8, 8, 8, 8, 8, 8, 9, 9, 9, 9, 9, 9])

  • Data variables: (1)
    • lr
      (obs)
      float64
      0.2309 0.5117 ... 0.9038 0.9244

      array([0.23088384, 0.51173309, 0.61639972, 0.63858884, 0.67259086,
             0.68993774, 0.13897597, 0.34796238, 0.45036573, 0.59561129,
             0.64263323, 0.64263323, 0.2345894 , 0.47973401, 0.58713321,
             0.62354866, 0.63473718, 0.63742875, 0.25277402, 0.47253045,
             0.64005413, 0.69797023, 0.74776725, 0.80270636, 0.29829006,
             0.51463926, 0.59872363, 0.66151898, 0.68509768, 0.70209967,
             0.33072662, 0.79244053, 1.12088628, 1.31753014, 1.40029326,
             1.42440534, 0.25679105, 0.44820942, 0.53957139, 0.57970674,
             0.59681361, 0.59784754, 0.25876918, 0.65744596, 0.86254492,
             0.94998004, 0.98790852, 1.03097017, 0.24606574, 0.41036624,
             0.49781029, 0.54771644, 0.56508975, 0.57923865, 0.25779626,
             0.54739102, 0.76565216, 0.85900276, 0.90375243, 0.9244402 ])

  • Indexes: (1)
    • obs
      PandasIndex

      PandasIndex(Index([0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 2, 2, 2, 2, 2, 2, 3, 3, 3, 3, 3, 3,
             4, 4, 4, 4, 4, 4, 5, 5, 5, 5, 5, 5, 6, 6, 6, 6, 6, 6, 7, 7, 7, 7, 7, 7,
             8, 8, 8, 8, 8, 8, 9, 9, 9, 9, 9, 9],
            dtype='int64', name='obs'))

  • Attributes: (4)

    created_at :

    2024-04-06T22:03:49.719921

    arviz_version :

    0.17.0

    inference_library :

    pymc

    inference_library_version :

    5.10.3

  
  
• constant_data

  <xarray.Dataset>
  Dimensions:       (Bg_dim_0: 6, Bg_dim_1: 7, Bi_dim_0: 6, Bi_dim_1: 7,
                     prem_dim_0: 60, grcode_dim_0: 60)
  Coordinates:
    * Bg_dim_0      (Bg_dim_0) int64 0 1 2 3 4 5
    * Bg_dim_1      (Bg_dim_1) int64 0 1 2 3 4 5 6
    * Bi_dim_0      (Bi_dim_0) int64 0 1 2 3 4 5
    * Bi_dim_1      (Bi_dim_1) int64 0 1 2 3 4 5 6
    * prem_dim_0    (prem_dim_0) int64 0 1 2 3 4 5 6 7 ... 52 53 54 55 56 57 58 59
    * grcode_dim_0  (grcode_dim_0) int64 0 1 2 3 4 5 6 7 ... 53 54 55 56 57 58 59
  Data variables:
      Bg            (Bg_dim_0, Bg_dim_1) float64 1.0 0.0 0.0 0.0 ... 0.0 0.0 1.0
      Bi            (Bi_dim_0, Bi_dim_1) float64 1.0 0.0 0.0 0.0 ... 0.0 0.0 1.0
      prem          (prem_dim_0) float64 -0.3475 -0.3475 -0.3475 ... -1.572 -1.572
      grcode        (grcode_dim_0) float64 0.0 0.0 0.0 0.0 0.0 ... 1.0 1.0 1.0 1.0
  Attributes:
      created_at:                 2024-04-06T22:03:49.720862
      arviz_version:              0.17.0
      inference_library:          pymc
      inference_library_version:  5.10.3

  xarray.Dataset

  • Dimensions:
    • Bg_dim_0: 6
    • Bg_dim_1: 7
    • Bi_dim_0: 6
    • Bi_dim_1: 7
    • prem_dim_0: 60
    • grcode_dim_0: 60
  • Coordinates: (6)
    • Bg_dim_0
      (Bg_dim_0)
      int64
      0 1 2 3 4 5

      array([0, 1, 2, 3, 4, 5])

    • Bg_dim_1
      (Bg_dim_1)
      int64
      0 1 2 3 4 5 6

      array([0, 1, 2, 3, 4, 5, 6])

    • Bi_dim_0
      (Bi_dim_0)
      int64
      0 1 2 3 4 5

      array([0, 1, 2, 3, 4, 5])

    • Bi_dim_1
      (Bi_dim_1)
      int64
      0 1 2 3 4 5 6

      array([0, 1, 2, 3, 4, 5, 6])

    • prem_dim_0
      (prem_dim_0)
      int64
      0 1 2 3 4 5 6 ... 54 55 56 57 58 59

      array([ 0,  1,  2,  3,  4,  5,  6,  7,  8,  9, 10, 11, 12, 13, 14, 15, 16, 17,
             18, 19, 20, 21, 22, 23, 24, 25, 26, 27, 28, 29, 30, 31, 32, 33, 34, 35,
             36, 37, 38, 39, 40, 41, 42, 43, 44, 45, 46, 47, 48, 49, 50, 51, 52, 53,
             54, 55, 56, 57, 58, 59])

    • grcode_dim_0
      (grcode_dim_0)
      int64
      0 1 2 3 4 5 6 ... 54 55 56 57 58 59

      array([ 0,  1,  2,  3,  4,  5,  6,  7,  8,  9, 10, 11, 12, 13, 14, 15, 16, 17,
             18, 19, 20, 21, 22, 23, 24, 25, 26, 27, 28, 29, 30, 31, 32, 33, 34, 35,
             36, 37, 38, 39, 40, 41, 42, 43, 44, 45, 46, 47, 48, 49, 50, 51, 52, 53,
             54, 55, 56, 57, 58, 59])

  • Data variables: (4)
    • Bg
      (Bg_dim_0, Bg_dim_1)
      float64
      1.0 0.0 0.0 0.0 ... 0.0 0.0 0.0 1.0

      array([[1.00000000e+00, 0.00000000e+00, 0.00000000e+00, 0.00000000e+00,
              0.00000000e+00, 0.00000000e+00, 0.00000000e+00],
             [0.00000000e+00, 3.08571429e-01, 5.69339736e-01, 1.21488595e-01,
              6.00240096e-04, 0.00000000e+00, 0.00000000e+00],
             [0.00000000e+00, 1.14285714e-02, 4.09819928e-01, 5.03721489e-01,
              7.50300120e-02, 0.00000000e+00, 0.00000000e+00],
             [0.00000000e+00, 0.00000000e+00, 7.50300120e-02, 5.03721489e-01,
              4.09819928e-01, 1.14285714e-02, 0.00000000e+00],
             [0.00000000e+00, 0.00000000e+00, 6.00240096e-04, 1.21488595e-01,
              5.69339736e-01, 3.08571429e-01, 0.00000000e+00],
             [0.00000000e+00, 0.00000000e+00, 0.00000000e+00, 0.00000000e+00,
              0.00000000e+00, 0.00000000e+00, 1.00000000e+00]])

    • Bi
      (Bi_dim_0, Bi_dim_1)
      float64
      1.0 0.0 0.0 0.0 ... 0.0 0.0 0.0 1.0

      array([[1.00000000e+00, 0.00000000e+00, 0.00000000e+00, 0.00000000e+00,
              0.00000000e+00, 0.00000000e+00, 0.00000000e+00],
             [0.00000000e+00, 3.08571429e-01, 5.69339736e-01, 1.21488595e-01,
              6.00240096e-04, 0.00000000e+00, 0.00000000e+00],
             [0.00000000e+00, 1.14285714e-02, 4.09819928e-01, 5.03721489e-01,
              7.50300120e-02, 0.00000000e+00, 0.00000000e+00],
             [0.00000000e+00, 0.00000000e+00, 7.50300120e-02, 5.03721489e-01,
              4.09819928e-01, 1.14285714e-02, 0.00000000e+00],
             [0.00000000e+00, 0.00000000e+00, 6.00240096e-04, 1.21488595e-01,
              5.69339736e-01, 3.08571429e-01, 0.00000000e+00],
             [0.00000000e+00, 0.00000000e+00, 0.00000000e+00, 0.00000000e+00,
              0.00000000e+00, 0.00000000e+00, 1.00000000e+00]])

    • prem
      (prem_dim_0)
      float64
      -0.3475 -0.3475 ... -1.572 -1.572

      array([-0.34745346, -0.34745346, -0.34745346, -0.34745346, -0.34745346,
             -0.34745346,  1.72234378,  1.72234378,  1.72234378,  1.72234378,
              1.72234378,  1.72234378, -0.3654406 , -0.3654406 , -0.3654406 ,
             -0.3654406 , -0.3654406 , -0.3654406 ,  1.40460971,  1.40460971,
              1.40460971,  1.40460971,  1.40460971,  1.40460971, -0.5486773 ,
             -0.5486773 , -0.5486773 , -0.5486773 , -0.5486773 , -0.5486773 ,
              1.12110923,  1.12110923,  1.12110923,  1.12110923,  1.12110923,
              1.12110923, -0.63582788, -0.63582788, -0.63582788, -0.63582788,
             -0.63582788, -0.63582788, -0.20123544, -0.20123544, -0.20123544,
             -0.20123544, -0.20123544, -0.20123544, -0.5779209 , -0.5779209 ,
             -0.5779209 , -0.5779209 , -0.5779209 , -0.5779209 , -1.57150713,
             -1.57150713, -1.57150713, -1.57150713, -1.57150713, -1.57150713])

    • grcode
      (grcode_dim_0)
      float64
      0.0 0.0 0.0 0.0 ... 1.0 1.0 1.0 1.0

      array([0., 0., 0., 0., 0., 0., 1., 1., 1., 1., 1., 1., 0., 0., 0., 0., 0.,
             0., 1., 1., 1., 1., 1., 1., 0., 0., 0., 0., 0., 0., 1., 1., 1., 1.,
             1., 1., 0., 0., 0., 0., 0., 0., 1., 1., 1., 1., 1., 1., 0., 0., 0.,
             0., 0., 0., 1., 1., 1., 1., 1., 1.])

  • Indexes: (6)
    • Bg_dim_0
      PandasIndex

      PandasIndex(Index([0, 1, 2, 3, 4, 5], dtype='int64', name='Bg_dim_0'))

    • Bg_dim_1
      PandasIndex

      PandasIndex(Index([0, 1, 2, 3, 4, 5, 6], dtype='int64', name='Bg_dim_1'))

    • Bi_dim_0
      PandasIndex

      PandasIndex(Index([0, 1, 2, 3, 4, 5], dtype='int64', name='Bi_dim_0'))

    • Bi_dim_1
      PandasIndex

      PandasIndex(Index([0, 1, 2, 3, 4, 5, 6], dtype='int64', name='Bi_dim_1'))

    • prem_dim_0
      PandasIndex

      PandasIndex(Index([ 0,  1,  2,  3,  4,  5,  6,  7,  8,  9, 10, 11, 12, 13, 14, 15, 16, 17,
             18, 19, 20, 21, 22, 23, 24, 25, 26, 27, 28, 29, 30, 31, 32, 33, 34, 35,
             36, 37, 38, 39, 40, 41, 42, 43, 44, 45, 46, 47, 48, 49, 50, 51, 52, 53,
             54, 55, 56, 57, 58, 59],
            dtype='int64', name='prem_dim_0'))

    • grcode_dim_0
      PandasIndex

      PandasIndex(Index([ 0,  1,  2,  3,  4,  5,  6,  7,  8,  9, 10, 11, 12, 13, 14, 15, 16, 17,
             18, 19, 20, 21, 22, 23, 24, 25, 26, 27, 28, 29, 30, 31, 32, 33, 34, 35,
             36, 37, 38, 39, 40, 41, 42, 43, 44, 45, 46, 47, 48, 49, 50, 51, 52, 53,
             54, 55, 56, 57, 58, 59],
            dtype='int64', name='grcode_dim_0'))

  • Attributes: (4)

    created_at :

    2024-04-06T22:03:49.720862

    arviz_version :

    0.17.0

    inference_library :

    pymc

    inference_library_version :

    5.10.3

  
  

Even here though we want to average the curves over the specific years in the data and abstract a view of the model implications under different counterfactual settings. Here we define a helper function to effect this step.

def get_posterior_predictive_curve(idata, prem=2, grcode=1):
    weighted_splines = [np.dot(np.asfortranarray(Bi), az.extract(idata['posterior']['beta'])['beta'].values[:, :, i]) for i in range(1000)]

    weighted_splines_1 = [np.dot(np.asfortranarray(Bg), az.extract(idata['posterior']['beta_g'])['beta_g'].values[:, i]) for i in range(1000)]

    beta_grcode = az.extract(idata['posterior']['beta_grcode'])['beta_grcode']

    beta_prem = az.extract(idata['posterior']['beta_prem'])['beta_prem']
    df1 = pd.DataFrame([beta_prem.values[i]*prem + beta_grcode.values[i]*grcode for i in range(1000)]).T

    ## Crucial step averaging over the years to get
    ## a view of the development period
    df = pd.concat([pd.DataFrame(weighted_splines_1[i].T + weighted_splines[i].T).mean() for i in range(1000)], axis=1)

    df = df1.iloc[0] + df

    return df

pred_df_1 = get_posterior_predictive_curve(idata_43, prem=1, grcode=1)

pred_df_0 = get_posterior_predictive_curve(idata_353, prem=1, grcode=0) 

fig, ax = plt.subplots(figsize=(9, 7), sharey=True)


ax.plot(pred_df_1, color='firebrick', alpha=0.1)
ax.plot(pred_df_0, color='slateblue', alpha=0.2);
ax.plot(pred_df_0.mean(axis=1), linestyle='-', color='k', linewidth=4, label='grcode 353 prem 1')

ax.plot(pred_df_1.mean(axis=1), linestyle='--', color='grey', linewidth=4, label='grcode 43 prem 1')

ax.set_title("Posterior Samples of the Trajectories \n Under different Counterfactual settings")
ax.set_ylabel("Loss Ratio")
ax.set_xlabel("Development Period")
ax.legend();

Conclusion

We’ve seen the application of splines as univariate smoothers to approximate wiggly curves of arbitrary shape. We’ve also tried gaussian process approximations of the same univariate functions. The suggested flexibility of both methods is a strength, but we need to be careful where splines have a tendency to over-fit to individual curves. As such we have tried to show that we incorporate spline basis modelling in a hierarchical bayesian model and recover very compelling posterior predictive checks and additionally derive predictiions from the mixed variant of the hierarhical model which helps us understand the implications of the data for generic forecasts.